When you talk about your hobbies in French, there are two ways to say "I play a sport. / I do a sport.".
When using "faire de la danse" or "faire de la natation" (FOR EXAMPLE) rather than simply "danser" or "nager", you refer more to an organised, repeated activity - I take dance lessons / I go swimming [as a regular activity, e.g. attending class or lessons] - than just a 'one-off' activity you're in the middle of doing such as I'm dancing / I'm swimming.
-> Note that in that context, the difference is not very noticeable.
Remember, English has two present tenses: I dance (simple), and I am dancing (continuous) which lets us make the distinction between something you do regularly versus something you're in the middle of doing. French has no present continuous tense, so we use faire de to distinguish the regular activity that you do, from the one-off activity you are doing.
JOUER + À + [SPORT]