We don't know.
Though there are several ideas what dark matter could be, e.g. the humorously abbreviated WIMPs, all we know about dark matter is that is it massive (by light deflection, etc., etc.) and that it does not interact electromagnetically, and probably also not with the strong force. Other than that, there is no sufficently tested theory of dark matter to pronounce with confidence what it is. We only know what it is not (i.e. not EM charged, not strongly charged, and there are probably a few other constraints from observation).
Also, though highly unlikely, it could be that it is our theory of gravity, i.e. GR, that needs to be modified. In that case, it could be that there is no additional unknown matter, just different gravitational interactions from what we currently think.