All about, but cannot be seen, Can be captured, cannot be held, No throat, but can be heard.

Common Wrong Answers
“Air”
While air is all around us and cannot be seen, it does not fit the criteria of being able to be captured but not held in the same way wind can be.
“Sound”
Sound can be heard and is an intangible phenomenon, but it is not something that is 'all about' in the same way wind is, and it doesn't fit the description of being captured.
“Light”
Light is indeed all around and can be captured (in photos, for example), but it can be seen, which contradicts the first line of the riddle.
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