Neutrinos were, until recently, thought to be massless; but, because neutrinos change flavour as they travel, at least two of them must have mass. (See below.)
The way that massless particles feel forces is more complicated than that for massive particles. Photons are known to experience the same gravitational acceleration as other particles (which provides empirical evidence for the equivalence principle), because it is their relativistic mass that acts as the gravity charge. Acceleration and velocity are both vector quantities, and they must be perpendicular to conserve speed, the magnitude of velocity. Thus, forces acting on massless particles simply change their direction of motion, the angle change in radians being GM/rc2 with gravitational lensing, a result predicted by general relativity. Massless particles move in straight lines relative to spacetime, and gravitational lensing relies on spacetime curvature. Gluon-gluon interaction is a little different: they exert forces on each other but, because the acceleration is parallel to the line connecting them (albeit not at simultaneous moments), the acceleration will be zero unless the gluons move in a direction perpendicular to the line connecting them (so that velocity is perpendicular to acceleration).