You've certainly walked past the entrances for transfer passengers and your brain has probably edited them out of your consciousness because they didn't matter to you at the time. When you step off the plane looking for a transfer/connecting flight, you won't be able to miss the signs for connecting flights, the displays indicating departure gates, the tensa barriers, and possibly a queue for security.

If you do manage to walk all the way to the immigration counters without noticing a way to connect, nobody is going to require you to go through immigration. Turn around or ask someone to direct you to international transfers/connections.