Well, we know that our understanding of physics isn't correct - galaxies rotate faster than we think they ought to based on the amount of matter that we think is in them based on our theories of gravity and the evolution of the universe.
The "simplest" explanation is that there's a particle that only interacts gravitationally, and has no other interaction with matter, hence being dark. Gravity might work differently on galactic scales, although it's hard to make that maths work; or neutrinos (which are also 'dark') don't have the gravitational interaction that we expect from theory.
Simple answer is that we don't know, and "dark matter" is the useful placeholder term until we work it out. Could be a lot of things, although there's a lot of things that we know it isn't.
Wikipedia has a big list of all the things that don't fit our current model, and which a proper theory of everything would have to explain. Dark matter ticks all the boxes, whereas other theories work for one or two but can't explain the rest.
Although you should give the egg to the thief (he can open it and you can't) and then kill him and retrieve it from his dead body later, otherwise you can't win the game. Obviously.