I think many people are worried, but unless there is a good alternative theory, the particle is still the simplest explanation. Over last 20 years a lot focus was on WIMPs (weakly interacting massive particles), but those searches ruled out a lot of parameter space that was considered sensible. For axions, people have only recently started to design detectors, so if dark matter is an axion there is hope to detect it.
If we will not find anything, it remains to be seen what is the best path forward. In the end the dark matter just behaves too much like dark particle with little cross section, so it is hard to replace it by something else ...