To answer this question, you first need to understand which NP-hard problems are also NP-complete. If an NP-hard problem belongs to set NP, then it is NP-complete. To belong to set NP, a problem needs to be
(i) a decision problem,
(ii) the number of solutions to the problem should be finite and each solution should be of polynomial length, and
(iii) given a polynomial length solution, we should be able to say whether the answer to the problem is yes/no
Now, it is easy to see that there could be many NP-hard problems that do not belong to set NP and are harder to solve. As an intuitive example, the optimization-version of traveling salesman where we need to find an actual schedule is harder than the decision-version of traveling salesman where we just need to determine whether a schedule with length <= k exists or not.