As far as I know (anyone is welcome to correct me if I am wrong) but that's not a settled issue yet. Nor is it fully settled if a medium is necessary to allow propagation. Sound waves clearly do require a medium to travel, which is why sound can't be detected in a vacuum, but things like quantum waves, or specifically light, operate in different ways, so the same rules don't apply.
Some pieces of our understanding of the universe are more easily discernible than others. This is one of those areas still very much open to study before we can claim a deeper understanding.