> I don't understand why it has to be non-electromagnetically interacting

Because we have zero evidence of it electromagnetically interacting. We have evidence of other particles like this, like neutrinos.

> Why can't it just be the equivalent of non-light-emitting asteroids and planets

Because they've been ruled out: https://en.wikipedia.org/wiki/Massive_compact_halo_object

You are not proposing anything new. Your ideas have been thought of before, and discarded because they lack evidence.