We investigate the collective decay dynamics of atoms with a generic multilevel structure (angular momenta $Fleftrightarrow F$) coupled to two light modes of different polarization inside a cavity. In contrast to two-level atoms, we find that multilevel atoms can harbour eigenstates that are perfectly dark to cavity decay even within the subspace of permutationally symmetric states (collective Dicke manifold). The dark states arise from destructive interference between different internal transitions and are shown to be entangled. Remarkably, the superradiant decay of multilevel atoms can end up stuck in one of these dark states, where a macroscopic fraction of the atoms remains excited. This opens the door to the preparation of entangled dark states of matter through collective dissipation useful for quantum sensing and quantum simulation. Our predictions should be readily observable in current optical cavity experiments with alkaline-earth atoms or Raman-dressed transitions.