When a wave passes through a material, it is the wave that travels from place to place. The material itself does not travel with it. A wave transfers energy from one place to another without transferring matter.
Ripples on water show this. Drop a stone into a pond and ripples spread outwards. A cork or a leaf floating on the surface does not get carried away with the ripples. It bobs up and down as each ripple passes and stays in roughly the same position. If the water itself were moving outwards, the cork would be pushed along with it. It is not, so the water is only moving up and down and the wave is what travels.
Sound waves in air work in the same way. A loudspeaker makes the air next to it vibrate. These air particles vibrate backwards and forwards about a fixed position and pass the vibration on to their neighbours. A listener across the room hears the sound, but feels no wind from the loudspeaker. A candle flame a long way from it stays still as the sound passes. The sound travels through the air, but the air does not travel to the listener.
