When a wave pulse travels from one place to another, it does transfer energy, and therefore mass. However, there's a useful distinction between the mass that is transferred by the wave, and the mass of the medium the wave travels through (e.g. the slinky for a slinky wave, or air for a sound wave, or water for a water wave). It is somewhat more accurate to say that waves transfer energy without transferring matter. When a slinky waves travels through a slinky, the slinky is left in the same place it started - that is the "mass" that doesn't move. However, the kinetic and potential energy that constitutes the wave has moved from one end to the other. Now, this kinetic an potential energy does contribute an (extremely tiny) amount of mass to the slinky, and that mass has indeed moved from one place to another.