A few days ago I read an article about the discovery of a new species of bird - a 'bald-faced bulbul'. It's easy to think that there isn't much more to discover in the world, with humans living in pretty much every habitable part, but in practice there arer still gaps in our knowledge & new things to find. As with the bulbul. OK, it's relatively rare to find somethng big, like a large mammal or bird, but the chances of finding a new arthropod (for example) are probably reasonably good.
Mind you, out in the wild is not the only place to find a new species - museum shelves probably hold large numbers of organisms that are new to science & haven't been properly described & named. Many of them - like the new & alas! probably extinct fruit bat described here - were collected in the 19th century, when there was a bit of a 'collecting mania', & stashed away in bottles & jars, pickled in alcohol or formalin, for someone to work on later. But for animals like this bat, 'later' took a long time to arrive.
The sad thing is that for many species, like this bat, extinction will arrive before the taxonomists do. There are at least two reasons for this. Firstly, scientists estimate that there are millions of species of living things - the estimates range from 1-2 million up to 80+, depending on the basis of their calculations. (And an awful lot of those species would be arthropods of one sort or another!) And since extinction is a fact of life, many species will go extinct without us ever knowing that they existed. The fact that we seem to be involved in an ongoing mass extinction event doesn't help there. And secondly - there simply aren't that many taxonomists! It's not seen as a particularly cool career path & isn't well funded either.
Either way, I find the idea that something can die without anyone ever knowing that it has lived, rather sad.