Occam's razor. If you postulate that there are things that don't interact at all with reality as we know it, that's a more complicated theory that has exactly the same predictive value as the theory that contains no such things.
What is it? It's not matter. It's not energy. Perhaps we could say that it's an electrochemical pattern that exists in the brains of a few million people. But if we all died would a non-material thing named "Occam's Razor" exist? If everyone who knew what Occam's Razor died, and then a hundred years later some one read about it in a book, would it spring back into existence?