This is a very good question and it was explained by Isaac Newton and Albert Einstein, though it is still under research by the scientists.
Isaac Newton has born in 1642 in Lincolnshire, England. As a result of his research, he found out that absolutely every object has an attractive gravitational force on another object, and the strength of this gravitational attraction between two bodies, depends on two things: the amount of mass composing each of the bodies, and the distance between them.
Unfortunately, the Newtons theory of gravity does not work the same when the objects approach the light speed. In this case, it is the Special Relativity of Albert Einstein that explains the force of gravity in a different way. Albert Einstein says that the gravity is caused by any massive body standing in the space, because the space gets curved when any object is present on it, and this object attracts any other object that passes by. To understand this, you have to imagine the space like the surface of a rubber membrane. Then, what happens if a bowling ball is placed on the rubber membrane? Well, the rubber membrane becomes curved, and it will attract any small ball-bearing that is placed there. The same thing happens in space. The sun curves the space, and the planets are attracted to it by this curvature.
On the other hand, some scientists think that the gravity is caused by a force carrier particle called graviton, but this particle has not been found yet.
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