Quote from Ryoohki166 >>

Where do you get the ruling that burrowing creatures do not provoke an opportunity attack?

 They provoke an opportunity attack when they move out of reach -- except they're already underground by that time, so they have total cover and the opportunity attack is blocked. This is somewhat dependent on how reach actually is defined, though -- if your reach is only the area you can attack, it does deal with this situation, but has the counterintuitive effect that someone moving behind a wall draws an opportunity attack when the exact same movement without the wall would not.

Apart from the answer provided by @Pantagruel666, if it's interesting for you @Ryoohki166, this thread has useful info about Opportunity Attacks against an Earth Elemental: Elemental Grappling - Rules & Game Mechanics 

Among the answers, this one by @Plaguescarred is relevant to your question:

Quote from Plaguescarred >>

While not official ruling, for those interested the Devs did answer this question in the past on X

@Hub_Libertarian Does an earth elemental trigger an OA when it burrows? It is within 5 ft, but the creature can no longer reach it #dnd

@JeremyECrawford An opportunity attack occurs right before the target leaves your reach (PH, 195). #DnD

@Hub_Libertarian thanks. yes, the debate here was does it ever leave your reach if it goes into the ground adjacent to you

@JeremyECrawford Your melee reach does not extend into the wall or floor. #DnD