Well yes the SNP, Plaid Cymru and UKIP are all known for having leaders who aren't MPs but has any party selected someone as leader who was an MP until they lost their seat? That would be more controversial.
Another difference is that the leaders of three parties you mention have all held seats elsewhere.
The SNP leader Nicola Sturgeon sits in the Scottish Parliament and is the First Minister of Scotland. Alex Salmond previously also led the SNP from Holyrood.
Plaid Cymru's leader Leanne Wood sits in the Welsh Assembly and leads the PC AMs (soon to be MWPs?) from there.
UKIP's leader Nigel Farage led UKIP from within the European Parliament, as did Paul Nuttall and Diane James.
Nick Clegg currently holds no elected office.
Lesser parties obviously have leaders not elected, but that's generally out of necessity. The Greens were in the unusual position that their leader Natalie Bennett didn't hold an elected office despite having Green councillors and and an MP, and in fact are still in that position to some extent with co-leader Jonathan Bartley (although he's in a job share with Caroline Lucas MP). Obviously parties like the Wessex Regionalist Party (randomly selected from a Wikipedia list) have no choice in the matter - they have no elected representatives anywhere!
But it's hard to imagine a party the size of the Lib Dems selecting someone who holds no political office as their leader. They have a reasonable pool of candidates who will probably put their names into the ring. Jo Swinson could be a good asset for them (and I'm not surprised the hear that she's the favourite at the moment).