We have gravitational evidence. We can only ever infer the existence of anything. An example of this is we didn’t actually see the Higgs Boson we just deduced it’s existence from the cascade of interactions that happens when particles collide. Similarly we can deduce from the gravitational evidence that dark matter exists.
Just because something seemingly doesn’t interact with EM fields doesn’t mean it isn’t there, it’s just something that only really interacts with the rest of the universe on a gravitational level.
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