we're pretty sure our theories are right
People are always so sure.They didn't say "Well, the geocentric model is probably wrong but we'll use it for now" either.
I'm certainly not a physicist.
But instead, you could regard the observations as "experiments proving our theories wrong".
We already have weakly interacting particles like the neutrino, which don't interact with matter outside of the weak force, making them rather difficult to detect, it's not really that far out of the realm of possibility to have other particles that only interact via the gravitational force.
This is often mentioned as a reason not to spend time with alternative models. However, breaking stuff is sometimes necessary if we are to get out of the local maximum of theory usefulness. The Kopernik model was much worse fit for the observations of planet motion that the Ptolemy's model, but it did have other virtues, like simplicity. The broken parts got fixed later with development of mechanics and perturbation theory.
I have always been a bit skeptical about it being some elusive magical new particle or somesuch though.