Instantly moving any kind of mass in the context of physics means moving it super close to the speed of light (well actually, it would have to be faster than the speed of light for truely instant which opens up a can of worms all its own so lets just say really really close to instant, as close as the universe lets you get without inviting FTL time paradoxes) which would impart insane amounts of momentum energy that has to transfer to the air it pushes.
That supercharged almost-speed-of-light air needs to go somewhere (unless were talking about the kind of teleportation where atoms get transposed into each other in which you just skip to the nuke step).