There are a number of ways this question could be answered.
Continuing Pablo Diez Silva's answer, according to quantum field theory all space is field with quantum fields. The values of these fields represents what is at each point in space. If the fields are $0$, nothing is there. But the fields are always fluctuating. This is often described as space being filled with virtual particles that wink in and out of existence. This gives empty space an energy.
Aside from this, space has stuff in it that isn't ordinary matter. Space is filled with light. Not a whole lot. But no matter where you are in space, you can see stars because the light from those stars is there. There is also light at wavelengths you cannot see. Stars emit UV and infrared light, and other wavelengths. The Cosmic Microwave Background is very long wavelength light emitted by hot matter at the beginning of the universe before there were any stars.
There are far more neutrinos in space than photons. Most of these were generated at the beginning of the universe. Many are generated in the Sun. These are nearly undetectable. They fly through ordinary matter without interacting, like light through a window.
There is ordinary matter in space. But it clumps. We live in a clump. It is spread out very thinly on average. The farther you get from a clump, the thinner it gets. A nebula is a relatively dense spot in a galaxy. The densest nebula has 10000 atoms per cubic centimeter. This is a vacuum 10 times less dense that the best we can make on Earth. Between galaxies there might be 1 atom in a cubic meter.
We can see gravitational effects where we don't see matter to generated them. Something must be there. It is called dark matter. To account for the effects, there must be 5 times more dark matter than regular matter. Nobody knows what dark matter is made of.
Another gravitational effect alters the expansion of the universe. A second mysterious thing must be present to account for it. This is dark energy. Again it must be there, but nobody knows what it is. There must be 4 times more of it than matter + dark matter.