Angels are immaterial. That means that they aren't made of any matter of any sort.
For some reason moderns think that "immaterial" means "made of matter, but a really weird type of matter." You see the same sort of reaction when people claim that we should be weigh the soul, and when being told that of course we can't since it's immaterial and only material things have weight, you get the answer "I know it's weigh a really small amount, but we still should be able to weigh it."
It's also similar to how in response to the claim that it is impossible for anything to arise out of nothing, you sometimes get responses like "but scientists have observed things in vaccums." Vacuums aren't nothing, they are a thing. Even if you define them as "a space with no matter in it" they would still be a space which is a thing. Nothing means nothing, just as immaterial means no matter.