The thing I noticed about Gehenna when Mephisto transported himself and Rin was that the place looked like a desolate, corrupted copy of Assiah. Notice that They are teleported into a cave in the mountain, sitting behind behind and on slabs of veined stone that look exactly like the dining table. Even the food and utensils look like they have turned into stone:
http://mangafox.me/manga/ao_no_exorcist/v10/c039/19.htmlYou can see the giggling demons hiding in the darkness even before Rin notices them:
http://mangafox.me/manga/ao_no_exorcist/v10/c039/20.html(I wonder if Amaimon knew he was now in Gehenna when he tried to morph into his demon form.)
Then here, Rin gets launched out of the side of the mountain that looks like a cliff side. Then we have more of those plateaus in the pre-last panel:
http://mangafox.me/manga/ao_no_exorcist/v10/c039/30.htmlNext page, you can see the silhouette of the mountain he crashed down from (which to me looks very, very similar to the silhouette of the True Cross Academy) and lands on the ground littered with rib cages and bones:
http://mangafox.me/manga/ao_no_exorcist/v10/c039/31.htmlThere is definitely
matter in Gehenna, because at the very least we have rocks and bones.
I think Gehenna is the mirror image of Assiah, just much more corrupted, desolate, destroyed and barren. In this case, it makes more sense why some demons seem to be more fascinated with humanity. It also feeds into the "opposites" theme between Gehenna (desolate) and Assiah (lively).
It also could be that Mephisto purposefully took Rin to a desolate landscape to not reveal much of Gehenna to him and/or attract other demon's/Satan's attention. Therefore, other parts of Gehenna may be more lively and populated than this rocky place.
Edit: This also makes more sense if you remember that Shirou said that Gehenna and Assiah are 2 dimensions joined like a mirror - one looking normal and the other looks corrupt:
http://mangafox.me/manga/ao_no_exorcist/v01/c001/31.html