Well, it didn’t. They knew perfectly well there were all sort of places far from their imperial reach. I don’t know how this silly meme got spread, but I blame crappy junior high school textbook sloganeering.
Rome did trade with all of the known world that cared to, though. See Pune, India.
The evidence suggests that Satavahanas, the earliest rulers of Maharashtra (230 Before Christ Era), who reigned from Junnar, were engaged in a flourishing import-export trade not just with the Romans but also with the Greeks and the Persians.
The port of Kalyan on the Konkan coast offered the link for the Romans touching the Indian shores at Bharuch, to reach Junnar via the western ghat pass of Naneghat.
The Satavahanas had a taste for wine, it seems, and the Mediterranean types had an ivory, spices and silk jones.
Grain of salt with this article, though. It makes the outlandish claim that the Roman traders sailed around Africa to get to the port of Kalyan. A combination of shorter sea voyages through the Mediterranean and Arabian seas and overland travel on the Arabian peninsula is what most likely went down.