Are they? Not even the original Dark Angels were sure how many Fallen "escaped" into the Warp. Ten thousand years later they are still hunting an unknown number of "traitors" whose identities were never certain to begin with, and they justify this by pointing to the prisoners who confess, at point of torture, to being Fallen.
I'm convinced :P
But seriously, who knows where the Fallen, assuming any are left, spend their time?