In short, one really knows. For example, we’ve sent probes to enter Jupiter’s atmosphere, but none have survived most of the way through the atmosphere due to intense heat and pressure.
They likely do have a rocky/icy core though. Jupiter has an atmosphere that transitions from frozen gas crystals to gas to gas in a supercritical state (not really a gas nor liquid) to liquid gas and finally, most likely, a rocky core.
They have gravity because they’re made up of a lot of particles attracted to each other, each with their own mass and somewhat close to each other. Everything with mass has gravity.
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