Good question. There is an atmosphere but it is really thin compared to earth, the same as when you are 22 miles up. That's why this is an exciting experiment :)

Compared to Earth, the atmosphere of Mars is quite rarefied. Atmospheric pressure on the surface today ranges from a low of 30 Pa (0.0044 psi) on Olympus Mons to over 1,155 Pa (0.1675 psi) in Hellas Planitia, with a mean pressure at the surface level of 600 Pa (0.087 psi).[177] The highest atmospheric density on Mars is equal to that found 35 kilometres (22 mi)[178] above Earth's surface. The resulting mean surface pressure is only 0.6% of that of Earth 101.3 kPa (14.69 psi) https://en.wikipedia.org/wiki/Mars#Atmosphere

This is a thin atmosphere on Mars. Between that, the very large blades (relative to the vehicle), and lower gravity, it's feasible.

Also, before this flight they tested prototypes in vacuum chambers evacuated to Mars ambient pressure.