I think you take the "create money out of thin air" expression too literally. They get money from depositors and they loan it out. That's how money appears to be created since both the depositor and the borrower act as if they have the money.
That is because they _do_ both have the money. New money is absolutely created by the act of making the loan. I do not take the expression too literally. You are mistaken. Please read what is occurring before you make further incorrect assertions.