Recent observations of gravitational waves (GW) from merging black holes and neutron stars have opened up the GW sky.  What else could be out there?   Much of the Universe is made of unobserved dark matter.   It is attractive to search for dark matter with GW because dark matter is known to have gravitational interactions.  Dark matter could be composed of compact dark objects (CDOs). These objects may interact very weakly with normal matter and could move freely inside astronomical bodies. We calculate the expected GW signal for a CDO merging with a galactic neutron star.  We search data from the first advanced LIGO observing run for GWs from close CDO binaries orbiting inside the Sun.  A CDO moving in the inner core of the Earth will have an orbital period near 55 min and produce a time dependent signal in a gravimeter.   These devices measure the local gravitational acceleration.  We use data from a superconducting gravimeter, in an abandoned silver mine deep in the Black Forest of Germany, to rule out such objects moving inside the Earth unless their mass and or orbital radius are very small.