With your supervision, a simple plastic bag can produce lots of indoor, active fun for an older preschooler. A round ball will often move too fast for little ones to catch. But, plastic bags catch on the air like a parachute, so they are perfect for kids to use to practice coordination and timing and to learn concepts like throwing, catching, etc. Here are some things you can try:

Throw the bag up with both hands, catch it with both.
Throw it up with one hand, catch it with the other. Go back and forth like this.
Throw it up with one hand behind your back and catch it several time, then switch hands.
Throw it up, duck under it and catch it before it hits the ground.
Throw it up, spin around and catch it before it hits the ground.

Remember to put the bag somewhere safe when you're kid is done with it. And, it never hurts to have a chat with your preschooler about the dangers in putting anything over their head or around their neck, etc.