We do in a certain sense, oftentimes not knowing what exactly they contained but rather being generally aware of what is missing and sometimes being able to piece together their approximate content.

Something we don't often think about is how a bureaucratic administration actually works. For example when asked to submit a document in triplicate to some sort of state agency (this has become less common in times of the internet but was still a thing some time ago) we tend to experience this as a sort of bad joke designed to annoy us. But the actual idea behind this is that every copy goes to an appropriate agency so that they have the information they need at hand without the need to further request it from other agencies etc. in order to speed up processes in administration.

A similar process is observable within state administrations. Documents produced by bureaucratic institutions are often circulated between several institutions and agencies so that every one of them has the appropriate information at hand – these copies are often called "cicrulars". Similarly, documents often reference each other, so you will find e.g. in a Nazi document concerning the treatment of German Mischlinge (mixed race persons) a reference along the lines of "As discussed in the meeting on February 25, 1941 and expanded upon in Document R-250/42, we decided that ...", which makes it possible to piece together the approximate content of documents we no longer have access to because they have been destroyed at the end of the war or in other circumstances.

One example of these "other circumstances" is the bombing of Berlin and destruction of the German military archive in the process: During the ensuing fire a good chunk of the files produced by individual German regiments of a vast variety of Wehrmacht units were destroyed. We still can piece together some of their important content through files produced by the divisions these regiments belonged to (such as where individual regiments were at a certain point in time) but other information is lost to us. E.g. in my research I encountered the problem of not being able to parse out which regiment of a German division in Serbia committed a specific massacre against the civilians population due to the missing regimental files.

A further sense of what is missing and what the approximate content of files was can be gained by what is still there: For example, there is a variety of files still available produced by German Police Battalions and German Feldkommandanturen (the Wehrmacht institutions responsible for the administration of larger areas within occupied territories). But while there are several files from these institutions, say, for France and the USSR, there is none for, say, Serbia or Croatia. This is further indicated by missing numbers, so you'll have the files of Police Battalion 23, 24, and 30 but none for 25-29. In order to gain more insight into their doing and get an approximate sense of the contents of these documents, we need to rely on sources such as autobiographies and interviews by people involved, post-war investigations and trial, eye-witnesses and so forth. Taking all of these as a convergence of evidence, we are able to piece together the approximate content of what is missing, at least in some cases (though not all).

Returning to circulars and references: Sometimes, one or two copies of circulars survive due to lucky circumstances. The best known example of these are the minutes of the Wannsee Conference when the Nazi leadership discussed the logistical set-up of the Holocaust. We know from the document itself that 30 copies were made and circulated among the participating agencies. Of these 30 copies however, only copy 16 – that of the foreign office representative Martin Luther – survived in the archives because Luther's department in the Foreign Office had been official dissolved and accordingly the files had been stored off-site instead of in the normal Foreign Office archives thus escaping destruction at the end of the war.

One example where references were hugely important in piecing together the content of documents and plans was the Generalplan Ost (GPO). I discuss this in more depth here but as you can see from the list, the GPO consisted of six documents in total, written at various times with the involvement of various people and agencies. Two of these documents, 3 and 4, have not been found yet and their exact content remains unknown. However, we do approximately know what they contained as Documents 5 and 6 do discuss their content as trying to advance German settlements in the East further, what previous plans laid out in these documents concerning the Soviet populations were and so forth. Since these documents belong in one sequence, it makes sense that the content of previous documents is referenced thus giving us an idea about their content.

Finally, there are cases where it is a bit of a matter of interpretation of the surrounding evidence and where sans finding new and previously unknown documents (which is a thing that happens: Former Soviet archives are far from completely researched and even in case of the Western Allies new evidence can still be found as was the case when Peter Witte and Stephen Tyas discovered the so-called Höfle Telegram – a telegram intercepted by the British detailing the number of people killed in the Aktion Reinhard Camps – in 2001) things remain somewhat murkier.

A perfect example for this concerns the alleged "euthanasia" (read: killing) program for Wehrmacht soldiers, which I discuss here. As laid out in the linked answer, there is evidence that points us to cases where handicapped or mentally ill Wehrmacht soldiers were killed as part of the murder program directed towards these groups. Historians such as Saul Friedländer, Wolfgang Petter, Michael Burleigh, and Ernst Klee were all able to document different instances of this and there is also evidence of a secret mission of Euthanasia chief Brack and 30 of the people who worked for him to the Eastern frontlines in the winter of 41/42 with them being disguised as members of the Organization Todt. This is all interesting evidence that shows us that at least in some cases, Wehrmacht soldiers who became mentally ill or handicapped were indeed killed but without further documentary evidence, which might or might not have existed in the first place, it is not possible to tell if this was part of a centralized and planned program or an effect of the structure of the T4 and subsequent killing programs.

While cases such as the above mentioned are rather interesting mysteries, which will not be fully solves without further documents emerging from the archives, in total there is enough documentary evidence from either the German archives or converging evidence such as eye-witness testimony, post-war investigation and trials or even material evidence (e.g. the remains of camps maintained by the Germans in the occupied Soviet Union about which all files were most likely destroyed) from which we can effectively gauge what is missing and in many cases even the approximate content of the documents we don't have. It is incredibly rare that something appears that was previously wholly unknown and chances of the discovery of, say, a fabled plan of the occupation of the United Kingdom are very slim.