Afaik, the official answer is that they are made of nothing because they are fundamental. That's how scientists say "we don't know". But when a fridge magnet sticks to a fridge, something holds it there and it's not nothing. It's not photons either. It's the magnetic field itself, the one that's made of "nothing". Photons are like waves in the magnetic field "water", but water isn't made of waves. Equations of magnetic field have a curious similarity with the flow of something in 4 dimensions (I mean that kaluza-klein theory), but nobody has managed to make that theory work yet, so there must be something else. Iirc, Einstein himself spent half of his life on this idea, but didn't succeed.