First, a proof that $\sin a$ is transcendental, where $a$ is algebraic not zero. Given that,
$$e^{ia}=\cos a + i\sin a$$
if $\sin a$ were algebraic, then $\cos a = \pm \sqrt{1-\sin^2a}\:$ is also algebraic, implying that
$$e^{ia}=\pm \sqrt{1-\sin^2a} + i\sin a$$
is algebraic, but $e^{ia}$ is transcendental (Lindemann theorem). Doing the same thing we can prove that $\cos a$ is transcendental.
If
$$\tan a = \frac{\sin a}{\cos a}$$
were algebraic, then $\sin a / \cos a$ is algebraic, implying that $\sin a$ and $\cos a$ are both algebraic, but this is false.
EDIT: Thanks! I get it now.
It is entirely possible for the quotient of transcendental numbers to be algebraic. Rather than that, you are looking for a relation like $$1+\tan^2 x=\frac1{\cos^2 x}$$