Mammals are found on every major land mass on Earth, except for Antarctica. The same is, however, much less true for 'minor' land masses. Here, isolation from the mainland means that, in most cases, there are less mammal species on islands than there are on neighbouring bits of continent. There are bound to be at least some, in other words, that didn't make it across, or that, if they did, didn't survive and where never replenished. This is even true, albeit to a lesser extent, on some (but by no means all) peninsulas, with fewer species towards the tip than at the connection with the mainland - there are, for example,
fewer terrestrial mammal species in South Korea than, say, Manchuria.
There are a couple of important exceptions here. For one thing, the rule doesn't really apply to bats, unless the islands are really remote (such as Hawaii, for example), and we're obviously not talking about marine mammals that use the shoreline, such as seals. Secondly, particularly large islands, especially those in the tropics, don't have this effect at all, being able to provide a perfectly adequate base to evolve a large profusion of unique animals. Madagascar, New Guinea, and Borneo are just, perhaps, the most obvious examples of this. It's probably also worth noting that many islands, even if they don't have very many species in total, often have ones that aren't found anywhere else on Earth, the separation from the mainland working in both directions.