When I was younger, I was always tempted to touch one of these naked wires used to switch on a ceiling fan, that didn't have a regulator after seeing someone do it  in my presence. One day, I manned up and touched one of the wires whole holding my breath and it turned out that it didn't electrocute me which was due to some reasons that will be explained below.

First, it has nothing to do with holding your breath, rather, it has to do with electricity and how it operates. For electricity to flow, electrons must move i.e electricity must travel through the conductor to get to the next point of reference.

I told you earlier that I was holding only one of the wires, this means that if I had touched both of them together, it would have been a different story.

Later on, I realised my footwear was insulated i.e made out of rubber and I was not making contact with any other object.

Therefore, holding your breath can't protect you from an electric shock.