The biggest problem with detecting dark matter is that no-one knows what it is. There are lots of weird effects we observe out in distant space (such as the rotation speed of our galaxy) that only makes sense if something with mass that both isn't emitting any light and isn't blocking light is out there.

The problem is - that's all we have.

It is like I went up to you and said, "I've lost something. Can you help me find it?" and you go, "Sure. What have you lost?" And I say, "I don't know. And I'm also not entirely sure I've even lost it."