Natural history and systematics as we know those sciences were born in Europe a few hundred years ago, and the European fauna is probably the best described in the world. Professional and amateur collectors have combed every part of the continent, searching for new species, and for odd forms of existing species.
Mus cypriacus was identified as a distinct species based on molecular studies, and morphological measurements on the species and on fossilized mouse remains confirmed it. The species seems to have colonized Cyprus before humans did, and has survived on the island since then.
Most newly discovered mammal species are found in remote areas, which makes this find even more surprising. Unsurprisingly, most new mammal species are mice and bats, and are small enough to have gone unseen right under people’s noses.
Update: Apparently there was a bat found in Greece and Hungary in 2001.