Emergent phenomena. Like how a row of toppling dominos will have a front which seems to move through the dominos, but is actually just a long chain of mostly stationary dominos. It would be odd to argue the front is a physical object.

Taking this further you might conclude that a soundwave isn't physical either. And sound is actually an examples of quasiparticles (phonons) when you get down to the quantum level.

Then again most people would be of the opinion that light propagates slower through solids like glass, but the photons in that description are quasiparticles (which have mass, unlike the photons in isolation). And quasiparticles share many properties that you'd normally expect only physical particles to have so it gets complicated.