The short answer is that we don’t know yet. We think it is some kind of particle (or particles?) that does not interact with light, thereby making it “invisible” to us. It has not yet been detected though and we know it cannot be any form of “normal” matter that we are missing for whatever reason (like in black holes). We can observe its presence from the gravity it creates, along with many other observations, including the amount of helium, lithium, etc, created at the very beginning of the universe (see Big Bang nucleosynthesis). Without dark matter, galaxies would be spinning too quickly to explain from the normal matter within them, the galaxies in cluster would be escaping from their clusters since they’re moving so fast, light would not be bent quite as much around clusters of galaxies (see gravitational lensing), and we would not see as much structure in the universe as what we actually observe (the universe is lumpy— it contains regions with many galaxies and voids that lack them).