We report on the first near-infrared observations obtained for Rotating RAdio Transients (RRATs). Using adaptive optics devices mounted on the ESO Very Large Telescope (VLT), we observed two objects of this class: RRAT J1819-1458, and RRAT J1317-5759. These observations have been performed in 2006 and 2008, in the J, H and Ks bands. We found no candidate infrared counterpart to RRAT J1317-5759, down to a limiting magnitude of Ks ~ 21. On the other hand, we found a possible candidate counterpart for RRAT J1819-1458, having a magnitude of Ks=20.96+/-0.10 . In particular, this is the only source within a 1 sigma error circle around the sources accurate X-ray position, although given the crowded field we cannot exclude that this is due to a chance coincidence. The infrared flux of the putative counterpart to the highly magnetic RRAT J1819-1458, is higher than expected from a normal radio pulsar, but consistent with that seen from magnetars. We also searched for the near-infrared counterpart to the X-ray diffuse emission recently discovered around RRAT J1819-1458, but we did not detect this component in the near-infrared band. We discuss the luminosity of the putative counterpart to RRAT J1819-1458, in comparison with the near-infrared emission of all isolated neutron stars detected to date in this band (5 pulsars and 7 magnetars).