Yes, but it's not common. Also, there are ways to detect caves that don't involve tremendous amounts of digging to see if caves exist. I just don't think it would be fun to be forced to dig out pillars to bedrock (not that I haven't done that before, but it was by choice, not necessity) on the off chance there might be caves under part of where you want to build your base.Actually, even IRL sometimes buildings collapse if built over caves.
This happens all around the world in specific places so the wise engineer will use special techniques for the foundations (as some players do in game).