Robert Parker (one of the greatest experts on Greek Religion) recently told me:

The books about Greek and Roman religion do set it down as though we knew 95% of the picture when perhaps we only know 20%.

Or if you want a better example, Aristotle (and his students) are supposed to have written 170 constitutions of various states. Only one survives. No presocratic philosophy survives intact. No new comedy survives intact. They survive in fragments but nothing complete. Fragments are quotes in other peoples peoples work (often much, much later work) and they are a nightmare to use successfully as there are so many issues about why they have survived.

Even books that appear complete may not be. Thucydides is a good example in that it just stops mid-sentence and we have no real idea why. Maybe he never finished it, or maybe there is more that we have no idea about.

I think that it is surprising that we have even what we do have. Before computers, before printing, before paper, recording things was very expensive. And there wasn't a very big market for written work as very few people could read to the required level in the ancient world (this is a very debated topic - people were probably not totally illiterate but also probably not reading deep philosophical tracts for fun, but I may be wrong on this).

There is a good quote from Iris Murdoch in The nice and the Good:

The immense literature about Roman law has been produced by excogitation from a relatively small amount of evidence, of which a substantial part is suspect because of interpolations. Ducane had often wondered whether his passion for the subject were not a kind of perversion. There are certain areas, early Greek history is one and Roman law is another, where the scantiness of evidence sets a special challenge to the disciplined mind. It is a game with very few pieces where the skill of the player lies in complicating the rules. The isolated and uneloquent fact must be exhibited within a tissue of hypothesis subtle enough to make it speak, and it was the weaving of this tissue which fascinated Ducane.

A surprising amount of ancient Greek philosophy made it down to us. It really is quite amazing--about 30 000 pages in all. That said, it isn't much compared to what once existed.

This quotation should be helpful:

The Neoplatonists held a central role in the transmission and survival of philosophical texts from Greek Antiquity. As interestingly established by Richard Goulet in one of the articles in this book, the texts which are conserved to the present day in direct tradition are those which were read and commented upon in the Neoplatonic school from the fourth to the sixth century, or which set out its doctrine, to the quasi systematic exclusion of other schools of thought. Plato, Aristotle and their commentators constitute almost the entire corpus of philosophical texts which is extant from Antiquity in direct tradition. The French scholar estimates at 4% the proportion of philosophical texts which are extant and do not belong to this Platonic-Peripatetic mainstream. Philosophical currents such as Stoicism or Epicureanism are almost all completely lost in direct tradition, despite the large number of their texts (for example, according to Diogenes Laertius (VII, 180), Chrysippus wrote more than 705 books, yet none are extant), let alone the writings of the Pre-Socratic philosophers.

source: http://bmcr.brynmawr.edu/2009/2009-01-31.html

You may be wondering why we have next-to-nothing from the non-Platonic schools of philosophy. It's really quite simple; they became less and less popular, and scribes stopped rewriting their works. That's basically it. The Platonists were lucky in that they thrived at the very end of the ancient world and their works got transmitted to Constantinople where they were mostly preserved.

• here's a neat pie-chart from the book in question that shows us who made it down to us -chart

A slight aside but still related (I think):

Are digs still going on at Oxyrhynchus?