Well, here's the easy answer: because it has mass! Our current understanding of gravity is what's called Einstein's theory of general relativity. This theory says that mass causes space and time (combined into one thing called spacetime) to curve and bend. So, a massive object (like the Earth) warps the spacetime around it. But when objects move, they move through spacetime, and so a curved spacetime causes objects to move in curved paths. But this curved path makes it look like there's a force acting on the object causing it to bend, and we call that apparent force the gravitational force.

To paraphrase the famous physicist John Wheeler, "Mass tells spacetime how to bend, and spacetime tells mass how to move."