They kept detailed records of who they were exterminating with bookkeeping and tattooing of their victims. They recorded many of the executions. In essence they recorded the proof of their guilt in one of humanity's greatest crimes! Why? Arrogance? Did they truly believe that if they won the war that the atrocities would be justified?
They did this for the purpose of tracking their progress. The Nazis had a good idea of how many Jews were in each country in Europe, and they needed to fulfill certain goals to ensure extermination was moving at a timely pace. Sure it was arrogant, but it's awfully hard to complete such an objective when you aren't keeping records isn't it?
There are notable incidents where only minor records were kept. The Babi Yar massacre of September 29-30, 1941 was one such incident (though the site would be used in the future as a dumping ground for nearby death camp victims).