Dictionary.com offers 7 definitions of "theory" plus many meanings given by other dictionaries: I reproduce the following -

1. a coherent group of general propositions used as principles of explanation for a class of phenomena: Einstein's theory of relativity.
2. a proposed explanation whose status is still conjectural, in contrast to well-established propositions that are regarded as reporting matters of actual fact.
3. <omitted: a definition specific to maths>
4. <omitted: a definition relating to classification of branches of science>
5. <omitted: a definition relating to method or principles>
6. contemplation or speculation.
7. guess or conjecture.

These all seem to say that a theory is something that has not been proved. To be proved, the theory must be tried and tested - supported by reproducable evidence or experiments.

There is, so far as I am aware, no proof of what gravity is yet, apart from some vague weak attractive force that affects all parts of the universe simultaneously. So if we don't know what it is yet, we cannot say for certain that it does exist. It is conceivable (providing you stretch credulity to its limits) that perceived gravitational effects are, in fact, an illusion or simply "negative" centrifugal force (a desperately bad example, but the best I can think of right now!)

Having said that, I do believe in gravity, I'm just not certain that it exists.

TYWD