What you say is correct in some instances, but you are vastly over-generalizing.
The instance that you are correct is the fundamental dimensionless constants. Those do represent features of the universe that fundamentally cannot be explained by any modern theory. This is no secret, scientists are quite open about it and the search for a "Theory of Everything" is largely motivated by this problem.
However, this is not the case with the dimensionful "fundamental" constants (e.g. c or G), those are completely understood as they are simply artifacts of our choice of units and essentially just allow us to convert between different units.
A second category of constant that does not represent a fundamental lack of understanding is what A.T. mentioned above (e.g. your drag coefficient). They represent a situation where the fundamental rules that govern the system are understood, but the boundary conditions or the system are too complicated to apply the fundamental rules given current computational limitations. Such constants abound in biology and engineering.
A final type of constant that is not due to a lack of knowledge is when a quantity is defined as a proportionality. For example, resistance is defined as the constant R in V=IR. Such constants would remain even with a tractable system and a perfect Theory of Everything.