A constructive proof demonstrates the existence of a mathematical function, number or object by producing (constructing) it. This is in contrast with other styles of proof, such as proof by contradiction, which asserts the existence of an object by finding a contradiction if it did not exist. Such a proof is called nonconstructive and is not rarely valued by mathematicians, especially in applied mathematics and computer science.
Presently, certain theorems have only been proved using nonconstructive methods. However, even after a nonconstructive proof is found for a result, work will still continue until a more useful constructive proof is found. A classical example of this is in Ramsey theory where an unsatisfactory proof using random graphs can determine Ramsey numbers. However, mathematicians will attempt to construct such a graph. Merely proving a hypothetical existence is not enough.
The easiest way to prove the existence of transcendental numbers is by a nonconstructive proof, arguing that the set of real numbers is uncountable while the set of algebraic numbers is countable, and thus (many) transcendental numbers must exist. Of course, finding a specific example is a much more difficult endeavor.