Depends on if 'breath' is considered an indivisible noun in context. 'They carried sand' vs 'They carried sands.' Both are correct, both say something different.
'They combed their hair' vs. 'They combed their hairs'. Both fine, emphasis is different.
'They received money' vs. 'They received monies'. Each correct, each different.
'They saw the light' vs. 'They saw the lights'. Correct, different.
Finally, 'They held their breath' vs. 'They held their breaths'. One emphasizes unity of action, the other implies individual actions. Both are grammatical.