Nano-diamonds remain an enigmatic component of cosmic dust. A significant fraction of the pre-solar nano-diamonds extracted from primitive meteorites were associated with distant exploding stars (supernovae). While they have been found in many Solar System bodies, they have been detected in only two proto-planetery disks and one evolved star, and they have never been observed in the interstellar medium. Newly-derived nano-diamond optical constants generated with the THEMIS dust model developed at IAS explain why it is hard to observe nano-diamonds in space.