Here's why:
* Solids: Imagine a slinky. When you shake one end, the disturbance (wave) travels down the slinky, but the coils themselves don't move far. They vibrate in place, transferring energy along the slinky.
* Gases: Sound waves in air are similar. The air molecules vibrate and bump into each other, transferring energy, but the air itself doesn't travel along with the wave.
* Liquids: Ocean waves are a good example. The water molecules move in a circular motion, but they don't travel long distances. The energy of the wave does.
In summary: Waves are a way to transfer energy without transferring matter.
