This is quite an interesting question, because fundamentally what you are describing is the art of holography.
This question is, in fact, completely analogous to asking why species which see using light don't simply project holograms to one another to communicate. Actually, this isn't quite true. It's a lot harder to make something that emits easily controllable light than something that emits easily controllable sound, because soundwaves are generated by motion at a much lower frequency. However, aside from that, the physics of projecting an image into thin air is exactly the same for light as it is for sound.
So, if we're looking at holography, we should look at the question of what we see as a 3D image. Well, when we look at something which is truly 3D, light reflected off of it travels in a straight line towards our eyes. However, our eyes aren't quite points, and so there's a cone-like shape containing all the light reflected off the object which reaches our eyes - this light contains all the information we receive about the image (well, actually, two cones, one for each eye). We get information about distance in two ways. Firstly, if both our eyes have to cross significantly to focus on the point, it's quite close, if they don't, it's further away, this is what gives us a large part of our depth perception, and it's this that 3D movie glasses capitalise on. However, our eyes also have a second method, which is that, in order to see an image, we need to focus that light cone onto the backs of our eyes. If the cone has steeper sides, this corresponds to an object further away, requiring less focusing power, whilst nearer objects require more work to focus, and this also lets use gauge distance. In order to properly see a 3D image, both of these effects must occur.
So, how to make a hologram? Well, we can fake these cones of light. If we take a beam from a torch, and put it through a lens, it will generate its own cone of light, easily enough: there will appear to be a point of light floating in mid air, where the light is focused, as long as you are within that particular cone - if you're outside it, you'll see nothing. However, this only gets us one point, and we want a whole image. In fact, this is one of the reasons most of what I would regard as 'true' forms of holography don't really work: conventional optical methods can only project points at a time, and it takes lots of points to make an image. To trick the human eye, it has to move throughout all points faster than the eye can detect, which is really difficult.
So, projecting even a 2D image - that'd be difficult. However, for a simple form of communication, you don't need to draw a whole 2D image - you only need to draw an outline of the thing, which is only a 1D object, created with multiple lines, and this suddenly becomes feasible, as long as people have reasonable memories to build up the sound patterns in their heads - something which would be required for echo-location anyway.
So, could a species evolve in such a way as to project sound-waves focused into points?
In fact, humans already have evolved the ability to focus light in a way which would achieve the same thing - our eyes! If, rather than receiving images, the back of our eyes contained an emitter of light, our eyes would have the ability to project points like I've described. There's a tradeoff between the size of the pupil, how far from the person a point can be projected, and from what range of angles it can be seen (generally, there's a tradeoff, for any given pupil size, inversely linking the range of angles and the distance of projection - and the larger the pupils, the further away is it possible to project an image, and the more powerful the image can potentially be).
In other words, humans have already evolved the two traits needed for this: the ability to precisely control the movements of a lens, and the ability to produce waves with particular qualities. All that would be needed is for both to have evolved to work with sound, rather than our eyes working only for light, and you could design a race of creatures with the ability to project and receive images by sound and echo-location. It would require a lot of practise with audio mirrors (basically a smooth surface which echos) for a being to get good enough to project an image, but just like any language, if learnt from an early age, it would easily be possible to acquire enough skill to communicate thus.
Such a society would be really amazing, with the spoken word lifted to an entirely new level of artform.
One final interesting point, is that it'd actually be quite easy to talk in relative secrecy with this. Anyone existing outside of the cone of sound you generate would not be able to see/hear the images you project within the cone - similar to those ATMs or some corporate laptops which are made to be invisible from a side-on view.
When I mention a sound-cone, I'm not saying that the sound is inaudible outside of this region, but simply that it doesn't contain the same information (i.e. the image of the point). It might still give away one's position, if not the information one's trying to convey.