This happens in spectra. By a theorem of Lin, there are no maps from the Eilenberg-MacLane spectra $H\mathbb{F}_p$ to finite spectra; the proof is an Adams spectral sequence computation using the fact that the Steenrod algebra is self-injective.
For a more algebraic example, let $A$ be ring containing an infinite regular sequence $(x_0,x_1,\dots)$ and let $M=A/(x_0,x_1,\dots)$. We can resolve $M$ by an infinite Koszul complex and compute that $\operatorname{Ext}^*(M,A)=0$. It follows that in the derived category of $A$, there are no maps from $M$ to compact objects.
As for getting some kind of control on these objects, I don't really know much, but I know Luke Wolcott has thought a lot about pathology in derived categories of non-Noetherian rings. You might try taking a look at his work and seeing if you can find anything useful.