Strictly speaking we don't, but we have reasons to believe that on a galactic scale it doesn't. There was that famous example a few years back where we had observed two galaxies hitting each other, and it "looked" like the regular ol' matter (eg, interstellar gas clouds) in each galaxy had "hit" each other and stopped while the dark matter in each had passed through the other galaxy unimpeded.

Which would seem to indicate that either dark matter is sparse and heavy (and just doesn't hit things very often) or diffuse and not-very-interacting with other matter.