Actually, yes they can.
If you were to fill a syringe with just air, stab someone with it, and push the plunger, most likely nothing would happen afterwards, as muscles couldn't care less about air being around them.
However, if you were to inject that into an artery, vein, or capillary, your body would rather quickly sense the lack of blood. This would happen because your blood vessels are meant to transport blood, not air, which would lead to air bubbles blocking them and causing an “air embolism”. Sorta like this:
As a response to this, you will immediately go into shock, as your body thinks that you are not circulating blood correctly and needs to send oxygen to your organs pronto. Since there’s not really a way that the air inside of your vessels to get out, if there was a great amount of air injected, it would cause a stroke, heart attack, or organ failure. In other words, DEATH.