Yes and no! It depends upon the information that one has. One group of scholars believe that jinn do not have bodies of their own. They also do not inhabit bodies of other creatures. However, they do exist independently by themselves. Therefore, they do not know how they exist without bodies: smoke, flame, fire or what?
The other group of scholars do believe that jinn do have bodies either definite or subtle. If their bodies are definite then they have some density; otherwise, if they are subtle, then they are so fine that our weak eyes cannot see them. One may read Surah Al-A’raf (The Heights) [Qur’an, 7:27]. Even if they are subtle they should have weight and density similar to that of the air itself.