They actually didn't know there was a finite amount of it. At the time, outside of England, coal was just beginning to become the main source of fuel in Europe, and coal mines were discovered in many places in Europe at that time.

Consider the comparison with say iron or gold, which at that time had been known for millenia and was dug out of the earth in pretty much the same way, yet new sources of these were continually being discovered. So despite the several thousands of years of usage of these substances, nothing indicated that they would ever run out of them, and the same would definitely be true of coal, especially in a time where its usage was still at a fraction of what it would later become.