Do you specifically mean the Pyramids of Giza? There are over a hundred pyramids in Egypt, not all of them built by the same people, though most were built during the Old Kingdom. In any case the Romans were perfectly aware of who built the pyramids. It's in Herodotus, which is why many older texts will cite that the pyramids at Giza were built by Cheops, Chephren, and Mycerinus (or Mykerinos), the Greek forms of the names Khufu, Khafre, and Menkaure. There was no secret in antiquity as to who built the pyramids, although the builders of some of the hundreds of smaller pyramids throughout Egypt were, then as now, unknown