The Coelacanth ("lobe finned") order appeared 410 million years ago, and there have been hundreds of species in this order. However, the whole order vanished from the fossil record about the time the Dinosaurs vanished, 65 million years ago. Everyone thought they were history.
In 1937, a live one was caught by a fisherman. It was a different species (and different genus and different family) from any fossil Coelacanth: it has been named Latimeria chalumnae. In 1998, Latimeria menadoensis was found far away in Indonesia. As the names suggest, these are two different species, but both are in the same genus. In 2000 a third colony was found off South Africa, but the exact species is not yet known.
More details about Coelacanths, living and dead
You might well ask: is it really possible for a group of species to live for millions of years and yet leave no fossils?
First, note that fossil hunts are done on dry land. That's partly because it's easier, and partly because watery environments are usually undergoing deposition, which covers everything up. On land, rocks are eroding, and fossils get revealed.
So, where do dry-land rocks come from? Well, some were formed on land, and some in fresh water, and some in shallow sea water. But very few were formed in deep sea water. Plate tectonics makes it clear why this should be. The deep ocean floor is constantly being destroyed, sucked down into the earth at subduction zones. It is unlikely for a piece of deep ocean floor to wind up as a dry-land rock.
Now, imagine a creature that lives only in the open ocean, and is unlikely to venture close to shore. (Perhaps it lives in the depths.) That creature will leave no fossils that we are likely to find. So, the answer is, yes. It is possible to leave no fossils.
Does Latimeria live in the depths? Well, close. They've been seen in caves about 200 meters down, and they die from decompression when brought to the surface.
Also, if a creature lives in a small geographic area, it is possible that no one ever looked in the right place. The first colony of Latimeria is off one single island (Grand Comoro) in the Indian Ocean. And, the whole population there is only a few hundred fish. The second colony hasn't been located yet, so it can't be large.