While I agree in large part with Larry’s sentiments, I think he chose a bad example here. GR is probably the only physical theory that is “not wrong,” in the sense that there isn’t a shred of observable evidence that contradicts it (as far as I know), despite lots of looking. The challenge is that it’s a theory for the weakest force we know of, so it’s hard to really probe its limits in laboratory (or even astrophysical) settings. I think nearly all physicists think it (and all theories) must be “wrong” in some regime, but it’s beginning to get embarassing (from a philosophical perspective) that we can’t show it. Put another way, we believe GR is wrong, but don’t yet know it’s wrong.

“Electromagnetism and QED are both wrong” might have been a better example, in the sense that we know of regimes where both theories fail to describe nature accurately.

Harold Jeffreys made a related observation in his book, Probability Theory, many years ago, pointing out that there was probably seldom (if ever) a time in history when a Newtonian model of planetary motion would be found to be acceptable by a significance test (either due to classical model limitations such as assuming sphericity or neglecting many-body effects, or more recently, due to GR corrections). But at no time were scientists prepared to abandon Newtonian theory (there being nothing to replace it until GR).