. . .If they were there, the DNR wouldn't "hide it." . . .
The Indiana DNR essentially says, that while we don't have a breeding population of mountain lions/cougars in Indiana, we may have transient cats come through from time to time. For example, the DNR confirmed one in Greene County in 2010 [1].
However, even at a "typical population" of such cats, there may only be 1 or 2 cats every 60 square miles (although this seems to vary widely). As a larger apex predator, there just aren't that many around - even when they are around. Being solitary, elusive, and wide-ranging - they're difficult to count.
[1] - DNR: Mountain Lions in Indiana