I'll be the first to admit that we don't understand dark matter. We do know for sure that something funny is going on at large scales in the universe ("large" here meaning at least as big as galaxies). In short, the numbers just aren't adding up. For example, when we look at a galaxy and count up all the hot glowing bits like stars and gas and dust, we get a certain mass. When we use any other technique at all to measure the mass, we get a much higher number. So the natural conclusion is that not all the matter in the universe is all hot and glowy. Maybe some if it is, you know, dark.
But hold on. First we should check our math. Are we sure we're not just getting some physics wrong?