Q: Where's my audio book?

Did you download them successfully once already? If so, then audiobooks are one of the very few things for which Apple has not been able to get permission to allow re-downloads. If you've lost or deleted the audiobooks, you'll have to restore them from your backup.

If you've never been able to get them to download even once, post back with details about your setup and the exact nature of the problem and perhaps someone can offer suggestions.

Regards.