I know the Sims 3 has cemetery's, I don't remember if the previous games before that did though. It doesn't make sense really for no cemetery to be in TS4 even after all this time.
My inconvenient solution was simply to move all my sims headstones to a generic lot solely created for well, dead sims. It works, but it's the manual work needed that's a problem.
A cemetery, especially one that works like the TS3 one is something that needs to be implemented sometime in the future.