Mammals just require too much energy to function.
Beneath the surface of water there can be more surprises, especially around large sources of (volcanic) heat and substances on the sea floor.
Bright orange bats were discovered in West African mining tunnels in 2021. Even very big animals can be still discovered near home. A 12m long, new species of whale hiding a plain sight in the Gulf Of Mexico, and so critically endangered as the Vaquita, was also discovered in 2021
But I wouldn't expect a lot of entirely new types of subterranean mammals in any case. Most of the people would not bat an eye about another species of brown mouse. You need a theriologist for spotting the difference and they are getting more and more scarce.