Couldn't we just as easily say the same about EM or any of the other forces?
The reason we think it is some kind of matter is because we know that matter interacts with gravity in ways that would explain our observations, as long as we assume that matter isn't visible for some reason. And it isn't like there aren't candidates even within the current standard model that might have the right properties.
> By contrast, modified gravity theories can match many of the predictions of DM theories using only direct observations of visible matter.
...and curve fitting. They keep having to add parameters to MOND to make it fit what we see and currently attribute to dark matter, like the bullet cluster. That's the physics equivalent of code-smell.