This, gravity, and quantum mechanics, I think are things that people just accept as is, I don't think anyone really knows how or why it works, it just works. It could be that our brains are not wired to understand how two things can be pulling each other without anything physically connecting them. My knee jerk explanation is that we live in a simulation, and that the simulation is not in anything like a physical world, and we are just not wired to grasp it, just like an ant won't be able to learn learn calculus.