Most of what people typically imagine first when you say "art" are the forms of art that involve the creation of artifacts -- like drawing, painting, writing, sculpting, and so on. What people do in my figure drawing class is make art.
But then there are the kinds of art where nothing separate is made -- the art is a performance we make out of ourselves, as in acting, dancing, mime, and so on. When you're in dance class, you can be the art.
I think what makes music so interesting to me -- particularly improvisational music -- is that in some sense it's both. The act of making music is itself also a performance, so you get to make the art and be the art at the same time.