From the way you mentioned, you broke the green pod open? The seeds probably haev not matured yet. You have to look almost everyday. Once the pods starts to crack or starts to brown, you should pick it. If you let it totally dry, the seeds would have already been dispersed

okay it's been a couple of weeks and everyday i check and nothing. Is it possible my day lilies aren't producing seeds?

could be possible if yours are hybrids, some hybrids are sterile