I am currently making a presentation for some undergraduate students entering a mathematics B.S. program. I'd like to add a slide about the fun of math, and part of that (to myself, at least) is that a mathematician is bounded only by his or her imagination.
So, to that end, I'd like to add a slide introducing some extensively studied mathematical objects with the caveat that an existence proof doesn't exist. Additionally, I myself am pretty curious about this. I've searched the internet and MSE, but couldn't find a good list of such objects.
Don't worry about the complexity of the topic - we aren't going into depth on these!
What are some objects that have had their properties deeply studied, but an existence proof does not yet exist?
EDIT: To clarify, I do not mean "existence" as existing in the physical world. I don't mean things like "do imaginary numbers exist in the real world?" or "do dual numbers have an analogue in the real world?" I mean something more akin to the solution of a differential equation; properties of solutions to differential equations can be described, and these solutions can be proven to obey certain rules, but these proofs are entirely separate from an actual proof of the existence of a solution to such a differential equation. (Sub-note: I am using a differential equation to illustrate my question. I am not only looking for differential equations that aren't proven to have solutions - other mathematical objects, like topological manifolds, algebraic sets, and the like are all welcome!)
This happens a lot when any open problem says that something doesn't exist: to try to make progress on that problem, we prove a lot of things about the thing that doesn't exist, with the hope of getting a contradiction.
An example already mentioned in the comments is odd perfect numbers. Wikipedia has a long list of properties that they'd have to have. For example, one of their citations, Odd perfect numbers are greater than $10^{1500}$ by Ochem and Rao, proves the thing that it promises in the title, and also these numbers must have at least $101$ prime factors (with multiplicity), and also they must have a prime power divisor bigger than $10^{62}$.
For another example, there's Hajós's conjecture that every graph with chromatic number $k$ contains a subdivision of $K_k$. Actually, this conjecture is now known to be false for $k \ge 7$; it's been proven for $k \le 4$. So cases $k=5$ and $k=6$ are open, and more people are working on $k=5$. As a result...
...a Hajós graph is a graph which has no $K_5$ subdivision, but is not $4$-colorable, and has as few vertices as possible subject to these constraints. We don't know if any such graphs exist, and it's quite likely they don't! But you can find many papers proving properties of Hajós graphs.For example, from the four-color theorem, it follows that they're not planar; from Kuratowski's theorem, it follows that they contain a subdivision of $K_{3,3}$; other work has shown that they must be $4$-connected, but cannot be $5$-connected; and so forth.
We can get more examples if "proving that something must be very large" is good enough for us to say that mathematicians are proving things about this object that doesn't exist. Then, for any kind of conjecture about the integers, you get people verifying numerically that it holds for all small cases, and so all counterexamples must be very big.