By measuring with an Ohm meter it behaves like a capacitor. Unfortunately, I don't have a capacitance meter. It's not from a circuit but the bottom of my drawer, I bought a couple of these several years ago, but I forgot why and what they are. I guess it's some capacitor, but not sure at all.
Funny, I've been looking at components for nearly 40 years, and I have never seen one that looks exactly like that.
Assuming it's not fried, and it's behaving like a cap (did you try both polarities?), then it is probably a cap. Most likely mica and low value (5 pF, anyone?). They were usually radial leaded, but who knows, maybe someone made an 'axial' leaded part (not that there is any real 'axis').
Honestly, it looks like trash to me. Or put it in your junk drawer. You might need something that looks exactly like that someday...