That’s a good question. There are actually a few frogs that are partly transparent from below. Not from above though, and all in all though I think that would leave a terrestrial animal really vulnerable, especially to UV. Transparent fish are somewhat protected from that by the water, and even then have had to give up their scales and I think mostly prefer darker habitats. Those are all right sacrifices for a fish to make in exchange for the camouflage it provides (my impression is less being invisible than looking like dead plants).
But on land that wouldn’t work as well because they would still have a different index of refraction than air, and then they’d be missing out on hair or feathers or scales or exoskeletons that most land animals depend on – note these mice have also had to be shaved, so in the wild they’d be cold and easily have their organs sunburned. Some things like naked mole rats do get by with just skin, but then for the same reason they don’t really need any camouflage either.
