Theoretical physics progresses via the anomalies it can't explain.

The problem is that we've mostly explained everything we have easy access to. We simply don't have that many anomalies left. Theoretical physicists were both happy and disappointed that the LHC simply verified everything--theories were correct, but there weren't really any pointers to where to go next.

Quantum gravity seems to be the big one, but that is not something we can penetrate easily. LIGO just came online, and could only really detect enormous events (like black hole mergers).

And while we don't always understand what things do as we scale up or in the aggregate, that doesn't require new physics to explain.