Subject: Why does heat or waves have no mass, or atomic structure ?

All objects or observable structures that we know of, are mostly made up of
atoms and particles etc... Yes ?
This being the case, then this must also apply to waves such as heat and radio.
They must be made of something in order to be there. If anything exists then it
must have a structure and that structure must also have a structure...and so.

Let's say that when science discovered the atom, they only really discovered 
a 'sand grain' or even a 'pebble' or maybe a 'rock' or was it a 'PLANET'...

Do you see.

Re: Why does heat or waves have no mass, or atomic structure ?