The orbit of Mercury had some attention from the physics community, but it just wasn't important enough for them to stop declaring that physics was complete. Also, the black body radiation had lots of attention from the engineering community, just nearly nobody tought it culd lead to any new physics, and the photoelectrical effect by its turn, was about as iportant as a toy.
Today we have plenty of data that isn't explained by physics. It's just that it isn't important enough to lead to new things.