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The correct statement is that a photon has no rest mass. This means that there is no reference frame in which a photon is at rest. Or in other words, a photon always moves at the speed of light. If you change to a different reference frame, the wavelength of the photon changes, but it still moves at the speed of light. The gravitational interaction couples to the total energy of any particle. Since a photon has energy, it does indeed interact gravitationally, even though it has no rest mass. To learn more about relativity click here.