As of discoveries they would have known by their commerce with the berbers tribes of Mauritania and Gaetuliae that it existed west africa, but there's not big records or substantial testimony of roman commerce with west african coast. While the east was really well developed, and it was the main route to the indian ocean commerce with India and China, had long standing civilizations as the Nubians, ethiopians, arab traders, etc. the west was still in a really undeveloped state with not much commerce or exchange. It was when Islam and the gold production bolster the Ghana and Mali empire of west africa to developed into a more big area of influence, and started connecting to the world. If you check roman imports and exports also trade routes there isn't much testimony of huge trade networks.

But, but they still did some exploration and explorative commerce: Cornelius Balbus made an expedition with legionaries through the Sahara to Lake Chad, Timbuktu and the niger river.(circa 0ad). Gaius Suetonius Paulinus made another expedition on the west coast towards Senegal. Some more testimonies by Plini the Elder regard of expeditions towards the west african island, the cannaries, cape verde, madeira, etc. There are even ones that claimed that Augustus had a plan to go all the way around Africa. There were some expeditions, with some intented purpose of gaining some trade routes, but it was mostly trade expeditions with no long lasting, formal trade network with the roman empire.

So the far they went was by land till the Lake Chad and Niger delta, and on Sea to the Cape Vert islands.