Most chipsets do have AC'97 modem functions. However you have to have an AMR or CNR slot, and a modem adapter to make use of it. An AMR or CNR modem is basically just a codec chip that receives data from the chipset telling it what analog signal to send, and receives the analog signal from the line and converts it to a digital data stream to send to the chipset for processing. The same thing is done with a controllerless software modem. The "modem" doesn't do any actual processing of the data in either direction, it just does the physical signalling.
Some boards also have a cable port for a modem to connect to, similar to the old style serial port connectors. The modem is just built onto a tiny PCB and attached to an expansion slot cover, the cable connects to pins on the motherboard to give the same signal path that an AMR slot would.