There are four possibilities as to why you don't seem to have the HM.
1. It's in your bag but you can't spot it.
2. You don't have the Mine badge from Canalave City and can't use the HM outside of battle yet.
3. You're playing Platinum, not Diamond - the HM can be received by Riley at Iron Island.
4. You have a bootleg cartridge (Unlikely).
Best of luck, hope this answers your question.