I study these things as part of the security research I do. Though this has not been a priority to me, I have poked around the edges some to see if I should investigate.
What I see today are referrers from odd sites mostly in Russia though Germany, China, and other countries do show up too. But when you check the site, there is no link to be found. I have found links if I watch my log files and then check the site in real time. But I cannot say this happens all the time.
What you are seeing is one of two things; one - simple referrer spamming, or two - a more complex scenario where links are made and removed very fast.
The first scenario is where a bot creates requests to your site with fake referrers. More on that in a minute.
The second scenario may be somewhat related. Keep in mind that there are advertising bugs placed on websites that create links in real time based upon the instructions of a central server. Not too much different than Google, but really sleazy.
There is a lag time between when the site was spidered, show up in any index, if they actually do, and changed again. This is why most of the time, any link from these sites do not show up in any major search engine though rarely they can. Spammers are hit and run people. They create any link quickly then remove it almost immediately. Rogue spiders discover these links and then hit your site. The rogue spiders may be run by the same people. Who knows for sure. But it may be a scheme that does two things; one - create a link for indexing in search engines, and/or two - creating referrer traffic in your logs.
What I see is a motive to drive traffic to an endless stream of websites. It may be to drive advertising traffic. I get about a dozen or more Russian referrer sites each and every day. It appears these referrers come and go within a single day. These sites can literally be created, last a day or two, then shutdown. But not always. Some are legitimate sites. I suspect these sites have ad bugs on them.
Part of the motive is spamming your log files for AWStats and other similar reporting engines that create webpages. Some of these reporting engines can create links which would be backlinks to the site. In Russia and other countries there are many up-start search engines that can be spamdexed (spammed) easily. And that maybe part of the point.
At the very least, they get you, who is curious about who is linking to your site, to check out their website.
The reason why this explanation may sound so confused is because of the hit and run nature of the effort. They are creating referrer spam one of two ways, creating links to your site using a bug, and creating sites that last just a day or two perhaps a part of domain tasting. In the past, I would have simply said it is referrer spam. But today, while I still say it is spam, the whole process is far more complicated most of the time.
Perhaps in the future, I will nail it down more precisely. Just for now, understand this is going to happen and there is not much you can do about it. The good news is, there does not seem to be any harm in it either except that it is annoying.