If you were standing on the planet, then each little piece of the planet is putting a little bit of force on you, attracting you towards it. If you were standing on the outside, with the center of the donut hole exactly beneath your feet, then you would feel a strong gravitational force straight down, because all the parts of the donut are on the same side of you, and the average direction is straight down. If you were standing on the inside, with your head pointing to the donut hole center, then you would feel a somewhat weaker gravitational force keeping your feet on the donut.
The near parts of the donut are exerting the stronger force, and so keeping you attached, but the other side of the donut is above your head, and is exerting a weak force in that direction so that the force keeping your feet down is partially counteracted. If you stand at any other point on the rim, then the force on you is not quite vertical - the net force does not point through your feet, but there will be a small amount due to the other side of the donut pulling you towards it.
Such a planet certainly could exist. However, if it were the size of the earth it would quickly collapse into something like a sphere, due to the gravitational action of one side of the donut on the other -for a really big mass (like the earth) the force is so strong that no material would be strong enough to oppose it.