From what I hear it's not that they don't exist. It's that they die and albinism in horses have been linked to gastrointestinal issues as well as other fatal problems.
Yes I went back and edited my post. There has never been a LIVING albino horse documented because they die in utero or within 48 hours of birth. The W gene is thought to be lethal in horses. And as far as I know the foals that have lived to 48 hours have not been documented as albinos, only suspected.