On graph data, the multitude of node or edge types gives rise to heterogeneous information networks (HINs). To preserve the heterogeneous semantics on HINs, the rich node/edge types become a cornerstone of HIN representation learning. However, in real-world scenarios, type information is often noisy, missing or inaccessible. Assuming no type information is given, we define a so-called latent heterogeneous graph (LHG), which carries latent heterogeneous semantics as the node/edge types cannot be observed. In this paper, we study the challenging and unexplored problem of link prediction on an LHG. As existing approaches depend heavily on type-based information, they are suboptimal or even inapplicable on LHGs. To address the absence of type information, we propose a model named LHGNN, based on the novel idea of semantic embedding at node and path levels, to capture latent semantics on and between nodes. We further design a personalization function to modulate the heterogeneous contexts conditioned on their latent semantics w.r.t. the target node, to enable finer-grained aggregation. Finally, we conduct extensive experiments on four benchmark datasets, and demonstrate the superior performance of LHGNN.