You are right when you say
>>To say that we have discovered all there is to discover in physics seems arrogant.
However, the double slit experiment is really puzzling, and people have been thinking about very hard for a while now. (This is for balkan : I bet you have not read Feynman.) Your "something else" is not only unnecessary. Any attempt in order to build a classical-concept reinterpretation of the double slit experiment leads to unconsistencies, as far as I know. As Feynman explains it brillantly, there is no way out of this : if you do not detect by which slit the particle goes through, then it is going to interfere, i.e. it is going through BOTH slits.
THE ELECTRON IS GOING THROUGH BOTH SLITS if you don't detect it. If you detect it, it is NOT interfering anymore.
Even if you try to reduce the perturbation induced by the detection, the interferences are restored at best when the indeterminacy in position becomes of order of the slits separation. You see there is no way out. Nature is perfectly clear to us about that.
I must add to this that nobody understand deeply what's going on here. The double slit experiment might be the first and most important experiment to motivate quantum theory, yet it remains one of the most disturbing fact of elementary quantum mechanics.