In short — energy is a property of a physical system, which is conserved*. There is no substance to the energy that we know of. We can, however, calculate how much energy a system has and we expect this amount to be constant.
According to the Noether Theorem the conservation of energy is really just a consequence of the fact, that the laws of physics don’t change with time. I.e. you could make the same physical experiment the day before or the day after and it would give the same results. To show how, however, one has to understand Lagrange’s physics, which is outside the ELI5
*) in fact the expansion of the Universe doesn’t conserve energy in the large scale (which is consistent with Noether Theorem as the Universe in large scale does change with time)
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