They have of Plume of Dusk inside them.
Spoilers (final boss, late game party member)
!Plumes of Dusk are fragments of Nyx's body that were shed when Nyx's body fused with the moon. They exist in a state between matter and information, having properties of both, and carry within them the same space-time manipulation ability as Shadows - they are essentially physical Shadows. Plumes of Dusk are what allow Mitsuru Kirijo's motorcycle, Evokers, and the Anti-Shadow Suppression Weapons to function during the Dark Hour, and, in the case of the Anti-Shadow Suppression Weapons, allow them to have a psyche and act as their power source. The Anti-Shadow Suppression Weapons carry within their Personality Module two equally-sized Plumes, crossed in the shape of a butterfly, which is why they are called "Papillon Hearts."!<
Here's the page from the Megami Tensei Wiki with that information: