I'm going to take a very different position than Cosmas Zachos' amazing answer. That doesn't mean I think the answer is wrong, but rather that I believe there are multiple quite different answers to this question because it is not really a physics question, but rather a philosophy one. Hence, I'm bringing a complementary point of view.
My point of view: not only don't we know what quantum fields are made of, but we don't even know whether they exist (whatever "existing" means) and we don't really care. The point of physics is not to describe how the Universe actually is, but rather to say what it is like.
Pick Newtonian gravity, for example. It tells you that there is a classical field permeating spacetime, which we dub gravitational field, that produces a force between any two bodies which goes like the product of their masses divided by their distance squared. Is that how the Universe actually is like? Not necessarily, but for a wide range of phenomena it pretty much works as if that was the whole picture. You can get away with not knowing a thing about general relativity (GR) for quite a while. Alternatively, you can also formulate Newtonian gravity geometrically, which is how we recover it from GR in the weak field limit, and then conclude that there is no force, but instead spacetime is curved and gravity is just that.
Which one is the true nature of the Universe? One could argue curved spacetime because of GR, and then another one might start arguing about how is the nature of whichever theory lies below GR, or alternative gravity formulations. Which one of them is correct? There is no way of knowing, and albeit a fascinating problem, it is not a physics problem.
Quantum fields are pretty much the same thing. We don't observe the fields directly. What we can measure are quantities like cross sections or decay rates, which are numbers that tell us properties about how "particles" scatter off each other or how fast they decay (the quotation marks are because we interpret field excitations as particles, but the fundamental quantities are really the fields). Since we are not measuring the actual fields, we don't really have a way of knowing if they are there. The whole point is: the Universe works in a way which fits incredibly well with what one would have if the fields were actually there. We don't know whether they are, but it is really similar to if they actually were.
As I said, this is more of a philosophy question, which I'm not really an expert on. The position I'm taking is closer to what is known as anti-realism (where I'm skeptical about whether we can say if something we don't measure really exists), while Cosmas Zachos' answer is closer to a realist point of view (which is closer to the notion that if the theory is using such a concept, it must exist in some way).
There is much more to these ideas than I'm putting in this comment, but as I said I'm not an expert. What is worth pointing out is that we often change our mind when talking about different theories: the same physicist might say that GR implies that spacetime actually is curved (more realist-like), while denying the wave function is anything more than a mathematical convenience (anti-realist).
In summary, we don't know what they are made of, and attempting to answer the question involves making a philosophical choice. What we do know is that the Universe behaves just as if these things exist to a gargantuan precision. Maybe one day we'll find a deeper theory that replaces QFT and explains what the fields were made of, maybe we'll be stuck with it forever.