Depends on your classification of life and what 'on' means. The problem we have here is that life as we know it requires air and/or soil and/or water to support it or it dwells within another life form that is supported by air, soil and water. Most often all life requires all three (air, water, soil) and the chain of life as we understand it depends on all three. Even bacteria that 'float around' in the air require 'something' all going back too the basic foundation, our planet. There is a novel out there about a solar system that has a 'smoke ring' a ring of atmosphere with high concentrations of water vapor. Although considered 'science fiction' many xeno-biologists consider the 'Integral Trees' by Larry Niven http://en.wikipedia.org/wiki/The_Integral_Trees to be ground breaking (pardon the pun). It breaks from traditional alien worlds and gives us a brand new concept upon which to build an ecology. while humans are the import species in this world, there are various plants and animals that Niven places around Voy (the name of the star) that could, in theory, exist or develop under these sort of circumstances. Some xenobiologists insist that such a 'world' could exist and that if life is as prolific as we now think it is, that it is possible that species would take hold and would form things like the integral tree, taking advantage of the tidal forces and form 'habitable islands' where a faux gravity would form and be present to sustain other life forms, create climate, and become 'catching' places for the building blocks of other life. Others argue that such a 'smoke ring' would never be stable enough and there would not be the right combination and concentrations of organic chemicals to start off, and others insist that eventually the forces of gravity would take over and cause all things with mass to form a planet. Planets appear to be the norm, the exception being in places of gravitational instability as we find between the orbits of Mars and Jupiter where the influences of Jupiter appears to pull apart the material that should have formed a planet we call it the 'asteroid belt'. Even under that stress we are discovering that asteroids in that region are not solid chunks of rock or iron, instead the image we are getting is of 'flying heaps of gravel'. Ceres, once classified as planet, then classified as asteroid, is not classified as a 'dwarf planet' and appears to be the 'final say' on what happens in even the most gravitationally disrupted of areas. In other works of fiction 'asteroid dwelling' life forms are engineered. In one that I have read (I can not recall the name of the book) humanity has moved to the rings of Saturn and her moons. Ring dwellers live their life inside of a bio-engineered 'plant/animal' 'space suit/space station' one person per 'suit'. The suit derives its food from sunlight and water and trace minerals and gasses are collected from smaller chunks of the Rings. Further they have bio-engineered other species that they 'paint' onto the rings for extraction of specific minerals, metals and ices for 'harvest'. This means that the target 'body' size is on average the size of a soft ball or grapefruit. In all cases above this is only mental explorations of what life could do. It makes the assumption that life is far more tenacious than we know. Life on earth although living in a broad range of climates from the polar ice caps to around super heated vents in the ocean floor, is still within a very narrow bad of habitat compared to what stellar (star system) climates offer.

A waterfall is life, just as a star.