In another, it wasn't, because the earth really was starting to get explored. Corners of Africa were unknown, places in Asia, here and there, but the train, the steam-powered ship, and the telegraph were indeed closing down space. The end of the frontier. More and more places where one could definitively state, "Here there be no dragons."
Which is, in part, why you started to get adventure stories like Sherlock Holmes in the middle of London. You still had the past, of course, but another literary trends was toward increasing historical accuracy in historical fiction. No more Alexander the Great as a feudal king with knights.
And since the question is technology at the root of it, there is the little question of how much of the Great Unknown can there be out there for the characters to face in a steampunk setting.
To be sure, some writers took the leap upward into outer space and the other planets and moons. It would be a while before those were shut down. It wasn't until the Atomic Age that E. E. "Doc" Smith and others had to go roaring out of the Solar System. (After Einstein had made it clear that there would be problems.) So there's some scope there. And if the steampunk society went trundling on out in to the stellar medium -- why, then you could have infinite frontier.