Optical equivalent of a superconductor
As Claudius suggests, vacuum does not absorb. But that is not a material.
You can have light that travels through a material without absorption; that happens in nonlinear optics with self-induced transparency. The full theory behind that is rather involved and you need really high intensities for that. The basic picture is that the front of the light pulse is absorbed and the back of the pulse stimulates emission from all the excited photons. Thus, the back gets to the front and is absorbed and the whole cycle repeats.
If such a material exists and it absorbs no light at any frequency, then it must have absolutely no optical activity. This is a consequence of the Kramers-Kronig relations, which are very, very basic constraints on how absorption and dispersion in a material can be related to each other, and represent mathematically the physical principle of causality. (That is: you just can't do away with them.)
If $\chi(\omega)=\chi_1(\omega)+i\chi_2(\omega)$ is the material's electric susceptibility at angular frequency $\omega$, then $\chi_1(\omega)$ regulates dispersion and $\chi_1(\omega)$ is proportional to the absorption coefficient. These two functions must obey the relation $$ \chi_1(\omega)=\frac{1}{\pi}\mathcal{P}\int_{-\infty}^\infty \frac{\chi_2(\omega')}{\omega'-\omega}\mathrm{d}\omega' $$ and an analogous one giving $\chi_2(\omega)$ in terms of $\chi_1(\omega)$. This means that if $\chi_2(\omega)=0$ for all $\omega$ - if the material absorbs no light, no matter the frequency - then $\chi_1(\omega)$ is also zero and the material has absolutely no dispersion. This is unlikely: all matter is made of charged constituents and they will react to EM radiation to some (nonzero) extent.
For some very nice insights into why dispersion and absorption are so intimately tied up, see this answer,
Causality and linear response in classical electrodynamics. Alex J Yuffa and John A Scales. Eur. J. Phys. 33 no. 6, 1635 (2012),
and
Causality and the Dispersion Relation: Logical Foundations. John S. Toll. Phys. Rev. 104 no. 6, pp. 1760-1770 (1956).
That said, you do stand a chance of having a non-absorptive material at a given, fixed frequency, of course!
In a normal conductor the electrons sit in energy bands, so you can change the energy of an electron by an arbitrarily small amount. By contrast, in a superconductor there is an energy gap between the ground state energy and the first excited state energy of the electron pairs. This means you cannot raise the energy of an electron in the ground state by an arbitrarily small amount. You have to supply a minimum amount of energy to excite an electron. This means that as long as you keep the electron velocities low they cannot be scattered by impurities or lattice defects because the scattering wouldn't supply enough energy. No scattering means no resistance and hence superconductivity.
To be exactly analogous you'd have to find some way of imposing a minimum scattering energy for photons, but I can't think of any way to do this. Strictly speaking you can't scatter a photon. You can interact with it and destroy it, and maybe reradiate a new photon, but photons don't inelastically scatter in the way electrons do.