In their own way? Both. The former is actually incorrect, as a few of them do mention Jesus.

The archives that we have from the Roman era are extraordinary. We know more about the 100 BCE-100 CE than we know about most other eras in history due to their incredibly meticulate record-keeping, as well as the preservation of many of those ancient texts. If we had as much information on everything as we did on Ancient Rome, we, as historians, would have a much clearer view of the past in most eras.

Now the flip side. I noted that we have an incredible wealth of source material from the Roman period. That incredible wealth is only a fraction of a percent - seriously, estimates are at about .001% - of the total number of documents that were extant in the region. There's an almost inconceivable amount that we could have that we, as a species, have lost. Many of those documents, which may have seemed insignificant at the time, would be considered incredibly valuable today.

So yes on both counts. People basically want you to believe whatever they say is true, and confirmation bias is rather rampant in the human race ;) The fact that he's actually mentioned in multiple different documents, however, is more than enough proof to the vast majority of historians (excluding extremists who could be convinced by nothing more than time travel) that a man named Jesus of Nazareth did exist.