Led’s or Light Emitting Diodes are, funnily enough diodes! This means that broadly speaking, they block reverse current flow (cathode to anode) but allow forward current flow (anode to cathode). However, like most diodes, they have a very non linear resistance with forward voltage:
And the exact shape of that curve depends upon the exact chemistry of the led, which varries with things like colour, and power output amongst other things.
Now, your multimeter, in order to work out the resistance of a component puts out a voltage, and measures how much current flows. As V=IR, say it put out 1 volt and measures 1 amp, then the resistance of the component being tested is 1 ohm.
So, when you connect your LED, if you connect it backwards, it should read off scale high (no current flow) but connected forwards, it’ll depend upon the exact voltage the meter can apply (which varies between meters).
Most meters have a specific diode test setting, designed to display the forward voltage of the diode being tested.