For this reason, we have a concept called wave-particle duality . In our macroscopic world, energy can travel in one of two ways, as a particle or as a wave. The ways to determine this are quite easy. For instance, the two-slit experiment shows very different distributions depending upon whether the traveling objects are particles or waves. E.g. baseballs and water waves.
Light shining on the two-slit apparatus produces a pattern that is consistent with wave motion.
The photoelectric effect demonstrates particle behavior. Any experiment done with quantum objects displays this duality. In wave experiments they behave like waves, in particle experiments they behave like particles. We should not try to constrain them to be like things in the macro world. The quantum world is different, the problem is the way we are trying to describe it.