Gravity does not appear to exist in the absence of matter.  But where there is matter, there is gravity.

Imagine we are in an enormous cargo spaceship, full of gravel size pieces of rock, the same type and size that is used in roads on Earth.  We fly to a position in intergalactic space, an enormous void with the only matter other than our ship millions of light years away.  In the midst of this empty void, we unload the gravel and fly away to observe from a great distance so the gravitational effect of our spaceship is removed from this location. 

The molecular bonds of each piece of gravel hold each piece together. The pieces float in space bumping into each other.  The collective miniscule gravitational force of each piece of gravel holds the entire aggregate roughly in place, a giant cloud of gravel just floating in space.  The cohesive molecular forces of each gravel piece holds the atoms of each piece in place as a separate rock.

Suppose we return to add more gravel, one load at a time.  Eventually, the collective gravitational force of all of the pieces of gravel should cause all the gravel pieces to pull into a central point, fuse, melt, and form a spherical body, much like a planet.

If we could add one piece of gravel at a time to the aggregate, would we be able to see what happens at the moment when the aggregate mass of rocks pulls into itself  - when the gravitational effect of the total aggregate  overwhelms the molecular cohesiveness that previously kept each piece of gravel separate? 

Before we dumped the gravel at this point in space, there was no  gravitational force at this location.  A spaceship flying past would not feel the pull of gravity at this point.  After we dump the gravel and the planet forms, a spaceship flying nearby would feel a gravitational pull from the new mass at this location.  Let's pretend there is enough mass from this new planet to allow our spaceship to be held in orbit at a considerable distance.

Now suppose the gravel we used was made up of pieces of plutonium.  After we dump the last load, we begin an orbit around the aggregate mass of gravel, at a great distance.  The gravel pieces begin to pull to a center point and fuse, but this time, there is a critical mass of plutonium, and the entire mass explodes in a fireball of nuclear energy.

Does this energy have gravity?  As the gravel aggregate explodes and coverts to pure energy, would our spaceship still orbit around the center of the explosion?  As the energy of the explosion dissipates into space, past our orbit, would the former gravity of the mass dissipate with it?

With matter comes gravity.  When matter is converted to energy, what happens to the gravitational pull of the former matter? 

Could gravity be a force from another dimension that extends through some unseen portal into our visible dimensions at every point where there is matter?  When the matter is converted to energy, maybe that portal closes.

No matter, no gravity.