Riddle about wind

I rap on the door, but when you answer there is no one there.

I wrap my blanket around you, but it fills you with despair.

I dance and prance to impress, but you just see a mess.

I am a cave, I am a wave.

I take your things, but I always put them down.

All I do is redecorate.

Why do you tolerate me?

What am I?