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If you are talking about the Music app, even if you are not storing anything locally, some space will be taken up to buffer the streams, and Music will also store the most recently played songs locally, to reduce bandwidth and/or data limit problems.
To see if any of your music is stored locally, go to Settings > Music and turn off Show All Music (or something like that). Then go back to the Music app, chose Songs, and see if there is anything still showing.
Don't forget to check the (. . .) icon and see if you have any audiobooks loaded.