We describe electromagnetic propagation in a relativistic electron gas at finite temperatures and carrier densities. Using quantum electrodynamics at finite temperatures, we obtain electric and magnetic responses and general constitutive relations. Rewriting the propagator for the electromagnetic field in terms of the electric and magnetic responses, we identify the modes that propagate in the gas. As expected, we obtain the usual collective excitations, i.e., a longitudinal electric and two transverse magnetic plasmonic modes. In addition, we find a purely photonic mode that satisfies the wave equation in vacuum, for which the electron gas is transparent. We present dispersion relations for the plasmon modes at zero and finite temperatures and identify the intervals of frequency and wavelength where both electric and magnetic responses are simultaneously negative, a behavior previously thought not to occur in natural systems.