halrankard's answer is good but this may help as well.
It is common to define various sets which are larger than the rational numbers $\mathbb{Q}$ yet still smaller than the reals $\mathbb{R}$. By larger and smaller here, I just mean one is a strict subset of the other.
halrankard mentions the Algebraic numbers $\mathbb{A}$. These are the roots to polynomials with rational coefficients. $\sqrt{2}$ is algebraic but $\pi$ is not.
Larger again, are the Computable numbers. Informally, these are ones that an ideal computer, e.g. a Turing machine, could calculate. $\pi$ is computable, you can calculate it to any desired precision in a finite time.
Larger again are the Definable numbers. Informally, we can specify these precisely yet we cannot even compute them. We know that there are numbers which are definable but not computable. They are necessarily rather weird. See this earlier question.
And this is still not all real numbers. All of these sets are countable. This means that although intuitively each set is bigger than the previous one, they can all be put into one to one correspondence with the smallest infinite set: the natural numbers $\mathbb{N}$. We could assign each definable number a unique natural number label without missing any.
However, we know that the real numbers are not countable so there must be undefinable numbers and that most real numbers are undefinable.
So, one of these last two sets might be like what you want: we know that they exist but we cannot point to any examples. No one will ever prove that a specific number is undefinable since, if they could specify which number they are talking about then it is definable