The only times I've really gotten to experience what you're talking about (sound everywhere but the speakers) is either with music that does some really interesting stuff with phase, or the speakers are in a REALLY well treated rooms as part of a properly dialed-in system. (this also assumes that the music in question is well recorded as well as mixed & mastered for such a presentation)
Ron's "Sound Shed" is easily the best example I have of getting to hear a presentation like that, there are some reference tracks he uses where the sound is everywhere but the speakers.
Especially with the Aria prototypes. (But also the Encores)
Most decent tracks still do quite well to disappear but not to nearly the same extent as others. The design of the speakers in use can also have an effect on how well they disappear.
The only other time I've seen people say it can be done is with a person using a custom Atmos setup of sorts where there are several identical speakers completely surrounding the person, all equidistant from the listening position, properly calibrated and time aligned. (I also imagine the room will still need to be well treated with absorption to really get it to work)
that said, such a setup will be very large, and will only work for music setup for an Atmos system, and it really only works for 1 person unless you really scale it up in size, cost. etc.