I found that $\big(\mathcal{O}(n), \times \big)$ and $\big(\mathcal{GL}_n(\mathbb{R}), \times \big)$ are not isomorphic, because their centers are not (respectively $\big \{\pm I_n \big \}$ and $\mathbb{R}^*I_n$).
Then I wondered whether $\mathcal{SO}(n)$ and $\mathcal{O}(n)$ are isomorphic.
By considering the centers once again, I found the solution for $n$ odd, but I don't know if much is known about the center of $\mathcal{SO}(n)$ for $n$ even and $n \ge 4$...
Is there any simple argument to determine whether $\mathcal{O}(n)$ and $\mathcal{SO}(n)$ are isomorphic ?