Mercutio:
“True, I talk of dreams,
Which are the children of an idle brain,
Begot of nothing but vain fantasy,
Which is as thin of substance as the air
And more inconstant than the wind, who wooes
Even now the frozen bosom of the north,
And, being anger’d, puffs away from thence,
Turning his face to the dew-dropping south.”

Shakespeare used many metaphors in his plays, this made them great pieces of writing. In this speech Mercutio is describing dreams and fantasy being the wind.
“More inconsistent than the wind”
“A vain fantasy-thin as the air”
Dreams come and go, but are not solid substances, just like the wind. It’s there but you cannot reach out and grab it.