Under general relativity, it is seen that gravity can literally warp spacetime around it.
Therefore, anything that passes through the gravitational warping will itself be influenced.
Around a massive object like the sun, there is a slight warping of spacetime, and therefore everything that passes through that is affected.
This is what causes the slight bending, you notice in light waves even though they cannot have mass in the standard model (as it takes infinite energy to accelerate anything that has mass to light speed)   _{Your Comment}