This is just in case no one else has noticed this - I've filed a bug.
When installing splunk on Linux, it asks you where to put the index. *But* it doesn't actually listen to what you answer properly: it does (I think) use the answer to make a new empty index directory structure, but at runtime it has forgotten where this is. So if you want to make the index be somewhere nonstandard you need to (a) tell it this at install time and (b) set SPLUNK_DB before you run splunk (in the init script or whatever) to this same place. If you don't do this, it will silently create an index under /opt/splunk, which is very bad (for instance there might not be much space there, or it might not be backed up).
While I think splunk is really a great system (way better than anything else I've seen), it *really* needs more work on deployment issues - this is far from the only really irritating deployment bug I've come across, on perfectly vanilla systems (others: doesn't make the splunk group, fails horribly to restart).