The term "knowledge" is used with a lot of different meanings. Here are the first two and main (according to me) definitions from Dictionary.com
1. Acquaintance with facts, truths, or principles, as from study or investigation; general erudition
2. Familiarity or conversance, as with a particular subject or branch of learning:
A knowledge of accounting was necessary for the job.
(You can find the same essential descriptions from most dictionaries.)
Now, in philosophy in particular, we can consult its description by Stanford Encyclopedia of Philosophy (part of which are very similar to the above definitions):
"In introductory classes to epistemology, we are taught to distinguish between three different kinds of knowledge. The first kind is acquaintance knowledge: we know our mothers, our friends, our pets, etc., by being acquainted with them. The second kind is knowledge of facts, propositional knowledge, or knowledge-that: this is the sort of knowledge we acquire when we learn that, say, Ithaca is in New York State or that Turin is located in Italy. It is customary to add to the list a third kind of knowledge that is supposed to be distinct both from acquaintance knowledge and from propositional knowledge. One possesses this knowledge when one can be truly described as knowing how to do something: play the piano, make a pie, walk, speak, create, build, and so on."
In the third kind, we read the word "possess", which might allude to a physical possession only that is isn't.
If something is physical, it can be perceived with our bodily senses. Not only the 5 basic senses but with and of the about 50 senses that are known. E.g. sense of movement (kinesthetic), gravity, balance/equilibrium, orientation, etc.
So, the criterion for anything about whether it is physical or not, is "Can it perceived by our senses?"
If you apply this criterion to all the above mentioned definitions/descriptions of knowledge, you will easily conclude that it is not physical.