If you mean extermination camps, they knew. They were also part of occupied, conquered and heavily terrorized lands. They occasionally did something, terrorist attack against Germans here and there, usually retaliated against by killing a lot of random citizens. Usually motivated by plight of own people.
Extermination camps were located in Poland - German plans involved moving away and killing all Polish, so that they can be replaced by Germans. Germans seen Jews as primary danger to be exterminated fast, Slavic as secondary lower value being to be exterminated slowly in time. Polish army lost the war. And random villagers were not in position to do anything about the highly violent occupying army.
(And yes, Jews were at danger of being denounced by anti semitic locals too. Turned out one could be subject of racial oppression and being oppressor himself).