While all but one Gamma-Ray Bursts observed in the X-ray band showed an X-ray afterglow, about 60 per cent of them have not been detected in the optical band. We demonstrate that in many cases this is not due to adverse observing conditions, or delay in performing the observations. We also show that the optically non-detected afterglows are not affected by particularly large Galactic absorbing columns, since its distribution is similar for both the detected and non-detected burst subclasses. We then investigate the hypothesis that the failure of detecting the optical afterglow is due to absorption at the source location. We find that this is a marginally viable interpretation, but only if the X-ray burst and afterglow emission and the possible optical/UV flash do not destroy the dust responsible for absorption in the optical band. If dust is efficiently destroyed, we are led to conclude that bursts with no detected optical afterglow are intrinsically different. Prompt infrared observations are the key to solve this issue.
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