I can barely walk through any forest without stumbling into a burial chamber every other step, the things are absolutely everywhere. As someone said, skellies are put outside as guards. If you're coming from the "wrong" angle the caves might just look like big rocks, but they're definately there. You absolutely ran past a lot of them.

If you still can't find them and feeling adventurous, find a swamp and they might have a Surtling spawn (huge fire geysers), they drop cores for you to start forging.
Wouldn't try that tho, Swamps are kinda messed up if you don't have gear for it.