The Ethereal exist on another plane beyond the known worlds. They were rumored to appear to destroy the keyblades and their keybladers. The Ethereal do exactly as they are "programmed" to at the best functioning. Ethereal are the paragon to human existance- demi gods. They exist to test the order of other existences. How they plan to test humans and those who reside in the ambit of Kingdom Hearts is unsure as of now.
MORE IMFOMATION EXISTS IN THE Knights of the Terrestrial Order Prequel Story HERE.