He said that because we have no idea what gravity actually is. We see how it works, we have been able to quantify its action for centuries, but we do not know why it exists. Albert Einstein's general relativity is the best theory to explain gravity, but it still has to be "tweaked" in order to conform to experimental data, with stuff like dark energy and dark matter. As dark matter is, well, matter we cannot see, but should be about 30% of all matter in the universe, that's a huge working hypothesis, so that "we don't know what gravity is" is actually a very valid sentence.
He's said this a couple times. This particular instance is from (as the backdrop suggests) his radio show StarTalk, which is also available as a podcast. This specific episode was a Cosmic Queries show, where they set aside the entire hour for answering listener questions.
I HIGHLY recommend the show. It's "must listen" material.
Gravity is amazing, but therein lies our total sum knowledge of this force. It's one of those neat things where you can't actually measure it in itself only it's effect on objects. Magnetic fields, radiation, light, sound, are all something we can break down into something specific. Wave forms of various types are well documented but gravity? We don't even know what kind energy, if it is an energy, it is. Instead it's a universal force that seems related to mass but is carried out without any equivalent exchange but may have something to do with a cumulative effect of matters strong force and how atoms are actually put together. But really that's all a shot in the dark until we can figure out a way to separate, isolate, and measure gravity itself. Also just remember that gravity is not a constant which just further screws with us.
I HIGHLY recommend the show. It's "must listen" material.