The best way to find a modem is to cup your hands to your mouth, and shout "Here, modem-modem-modem!"
Having said that, your modem could be either a serial (COM-port) or USB device. So it wouldn't necessarily show up under "lspci".
Furthermore, many modems are "Winmodems"; support for Linux can be problematic.
Look at this link, and see if it helps: