We propose a new type of quantum liquids, dubbed Stiefel liquids, based on $2+1$ dimensional nonlinear sigma models on target space $SO(N)/SO(4)$, supplemented with Wess-Zumino-Witten terms. We argue that the Stiefel liquids form a class of critical quantum liquids with extraordinary properties, such as large emergent symmetries, a cascade structure, and nontrivial quantum anomalies. We show that the well known deconfined quantum critical point and $U(1)$ Dirac spin liquid are unified as two special examples of Stiefel liquids, with $N=5$ and $N=6$, respectively. Furthermore, we conjecture that Stiefel liquids with $N>6$ are non-Lagrangian, in the sense that under renormalization group they flow to infrared (conformally invariant) fixed points that cannot be described by any renormalizable continuum Lagrangian. Such non-Lagrangian states are beyond the paradigm of parton gauge mean-field theory familiar in the study of exotic quantum liquids in condensed matter physics. The intrinsic absence of (conventional or parton-like) mean-field construction also means that, within the traditional approaches, it will be difficult to decide whether a non-Lagrangian state can actually emerge from a specific UV system (such as a lattice spin system). For this purpose we hypothesize that a quantum state is emergible from a lattice system if its quantum anomalies match with the constraints from the (generalized) Lieb-Schultz-Mattis theorems. Based on this hypothesis, we find that some of the non-Lagrangian Stiefel liquids can indeed be realized in frustrated quantum spin systems, for example, on triangular or Kagome lattice, through the intertwinement between non-coplanar magnetic orders and valence-bond-solid orders.