All smoke and no fire - though it refers primarily to boasting, I believe.

make a mountain out of a molehill is more like crying wolf, isn't it? That is, making a minor problem sound like a major emergency.

You can also say, "You're just bullshitting", though it's not the most polite of language.

There's also "painting castles in the air," but I think that it refers more to day-dreaming and wish-fulfillment.