Photons, as all particles, are only physically real when we observe them. In between times they are just balls of possibility, only probabilities of being in a certain place at a certain time. Observing is the collapse of the wave like behaviour into particle like behaviour.
There is a whole field of physics dedicated to just this question – look up “Quantum decoherence”.
You can think of it in terms of thermodynamics, the measurement is a thermodynamically irreversible process. In this process information leaks out from the system into the environment. In the case of the photon the information is each individual path it can follow. The measurement “decoheres” the system – it forgets about the other paths.
People are trying to manipulate this process to produce quantum computers
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