Our current best theory of gravity is Einstein's General Relativity. The model in this theory is that mass (and energy) curves spacetime. A body that doesn't h

Our current best theory of gravity is Einstein's General Relativity. The model in this theory is that mass (and energy) curves spacetime. A body that doesn't have a force applied to it follows a straight line, but in curved spacetime, a straight line might correspond to, for example, a planet's orbit. This is, however, just another level of description, and you could ask why this happens. We don't yet know the next level of description. It is hoped that some future theory will reconcile quantum mechanics with general relativity and that might give us some further insight into "why". It's worth pointing out that any theory isn't necessarily a description of how something actually works. It is merely a model that fits experimental results. Often a model can be reformulated using different, but ultimately equivalent, mathematical language and it would give the same predictions. In a similar vein, you could ask why objects continue to move in a straight line if no force is applied (Newton's first law). That's something I would like to know.