It's something allowed by General Relativity, as a theoretical object. As Clanad says, they've never truly been seen, but you can detect something being there, giving some sort of evidence of them existing.
What you should also remember is that everything in physics is a theory. We don't set out to try and understand what's really happened (though this would be nice), but simply have predictions of what can happen under certain circumstances.
If you look back a short while, a question was asked along the lines of "is there anything that says what gravity is that isn't a theory?", and jake gave a very good answer to it that should also apply here.