I'm not saying they don't exist, I'm saying that getting such an infection in isolation is massively, massively unlikely.
Most spyware isn't undetectable, as it has a negative impact on your system's performance, stability or functionality. Generally it doesn't care what you need to do, just what it needs to do.
A single malware infection is relatively rare. Either the infection itself downloads other malware, the delivery method dowmloads other malware, or the point of injection is exploited by more than one infection.
Rootkits in and of themselves are difficult to detect and remove, I agree. Typically though, their actions and behaviour aren't.
I've worked on computers professionally and as a hobby for quite a while now, and I don't think I've ever come across a completely undetectable infection. And whilst I take your point of 'how would you know', I've had plenty of patients where I've run various countermeasure tools against them just to be sure – it's my standard practice before I connect anything foreign to my LAN for a start.