This is a picture of a Brownlee particle, which may be what a comet is made of.
Click on image for full size
JPL
Brownlee Particles
This example of Interstellar Dust is a perfect example of the kind of rocky material comets may be made of. The grains themselves seem to be made of smaller grains. There are many holes, or pores. In a proper comet, these holes would be filled with ice.
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