There are indeed many reasonable dark matter candidates: sterile neutrinos, lightest supersymmetric partner, axions... These are particles which are theoretical

There are indeed many reasonable dark matter candidates: sterile neutrinos, lightest supersymmetric partner, axions... These are particles which are theoretically motivated, but by their nature would be difficult to detect because they don't interact electromagnetically. If we exclude the existence of such particles it is more difficult to construct a coherent theory. Dark matter is exciting in part because it intersects particle physics with cosmology, and has the potential to solve problems in both (e.g. rotation curves and neutrino masses). It's appealing in part because it's parsimonious.