They have an endoskeleton under their skin, but in many species it's become downright vestigial, consisting of little more than a few tiny withered bits and pieces. They're like gloopy blobs that are somehow alive.

EDIT - I originally wrote that they have an exoskeleton under their skin, which is completely against all laws of linguistics. Are the sea cucumbers that weird? No, but they're just weird enough to confuse my words.