They believed in the creation called angels, which Allah (swt) has told us of. He has also informed us of another type of creation called the jinn. We cannot perceive these creations, but we believe in them, as the One who told us about them is the Almighty Creator. This information from Him (swt) suffices, because something we cannot perceive is not necessarily non-existent.

(… وَلَوْ جَعَلْنَاهُ مَلَكًا لَّجَعَلْنَاهُ رَجُلًا) (And if We had made him an angel, We would have made him [appear as] a man, …): The intellectual and physical capabilities found in the body of a human being cannot bear the weight of looking at an angel in his angelic form. Therefore, if Allah (swt) had willed to send an angel as a Messenger, He would have sent him in the form of a human being, such as the coming of the angel Gabriel in the form of a man dressed in very white clothes and extremely black hair.