If something can be measured it is physical; it doesn't have to have mass to qualify. To put it another way: if something can be related to physics, it's physical. Photons are physical.
The notion of 'physical' in the scale of our everyday experience is related to things we can sense through touch and have some kind of solidity but when you zoom in far enough everything is just fields and, at that small scale, the idea we call "solid" is actually just repulsion between sets of these fields, like magnets, which actually have no sense of substance we can directly relate to.