We know two masses attract each other across space, and have characterized a model that accurately predicts the magnitude of the force of the attraction over distance and time. What we don't know is exactly why those two bodies are attracted, and how the force actually operates.

For other fundamental forces, the electromagnetic force, the strong and weak nuclear forces and light, we have a reasonably good handle for how they operate in the quantum and relativistic physical frameworks, and we can reconcile their behavior between the two systems. We can't say the same for gravitational force, and it's causing problems for our understanding of how the Universe came to be, and how it is evolving. We have only recently in the last 20 years successfully detected gravitational waves with LIGO, and are currently searching for proof of a cosmic background gravitational field. We have but yet identified a quantum particle responsible for "transmitting" gravitational waves. Likewise, we cannot reconcile our observations of Universal expansion with the amount of mass we can account for across the cosmos-- that whole thing about dark matter that interacts with other masses gravitationally, but seemingly not with the other fundamental forces.

I probably butchered that explanation badly and made some actual physicists scream with the frustration (and if so, i apologize. please weigh in and educate us!), but my point is yes, we know a lot about gravity but we just don't know why or how gravity works.