heh heh heh heh
yes enery is conserved, but by transferring some form of energy to sound, surely the process by which this is caused is 'making a sound'. that's how i would view it at least. it's rather pedantic to say that a power stations doesn't 'make' electricity, it only converts one form of energy to another. a potter may only form a pot from clay of another form, rather than having conjured it from nowhere, but you would still say he had 'made' the pot (i hope?).
in those terms, it is possible for air to 'make' a sound, as wilsonian says, if two air currents collide a sound wave is created eminating from the point of impact, just as 2 cars colliding would, the principle is just the same although the density of the bodies are different. with both examples it is the transfer of energy from kinetic energy to sound (and other forms) of energy, but i would still say the cars, or the air, had made a sound.