A general formulation is given for electromagnetic pulses which remain localized in a multidimensional space, and which propagate at the speed of light without dispersing (focus wave modes). It is shown that such modes necessarily have infinite electromagnetic energy in the source‐free, three‐dimensional space. Finite‐energy focus wave modes cannot exist without sources. A set of complete focus wave modes with Hermite–Gaussian transverse variation is derived. The relation of focus wave modes to the solutions of the paraxial wave equation is established.