For FM, Carson's bandwidth rule informs you the approximate bandwidth of a transmission. The bandwidth value it calculates contains 98% of the energy of the whole transmission. It is expressed by the relation CBR = 2 (\$\Delta\$ f + f\$_M\$) where CBR is the bandwidth requirement, \$\Delta\$ f is the peak frequency deviation, and f\$_M\$ is the highest frequency in the modulating signal.
This means that a totally unmodulated waveform has zero bandwidth but this is clearly not the case when modulation occurs. The radio receiver has a bandwidth that is wide enough to accommodate the modulation but small enough to reject unwanted transmissions in adjacent channels.
Here's what AM and FM look like: -
It should be clear that the carrier in the FM system contains a range of frequencies for the simple modulation by a pure sine wave. It gets complicated when composite signals modulate the carrier of course but the principle is the same.
Pretty picture stolen from here