Do all massive stars explode? I've read a few articles written in $2008$ that some stars which have enough mass just collapse into black holes without a supernova, is this proven?
There are a variety of models of stars collapsing into black holes without proper supernova explosions. These are often called failed supernovae or direct collapse black holes - although the former seems more common. Failed supernovae can happen if the initial shock wave rebounding from a collapse loses enough energy, causing it to fizzle out. Neutrinos produced in the core often supply this energy, but a small enough burst may not be enough to keep the shock going. There might then be a simple collapse.

The minimum mass for the progenitor of a failed supernova is unknown (and as Rob Jeffries pointed out, this is metallicity-dependent). Some early models (e.g. Fryer (1999)) found that stars above $40M_{\odot}$ could produced failed supernovae, while newer ones suggest that this could be as low as $25M_{\odot}$. This lower limit would include a sizable portion of red supergiants - which could be a possible solution to the red supergiant problem.

A number of searches, largely targeting supergiants, have been carried out. Just a few are


Adams et al. (2016), using the Hubble Space Telescope to examine N6946-BH1, a disappeared red supergiant of $25M_{\odot}$.
Reynolds et al. (2015), looking at past Hubble data. They found one possible candidate, a $25\text{-}30M_{\odot}$ red supergiant in NGC 3021.


So far, we have no definite confirmation that these stars were failed supernovae. However, they do seem plausible candidates, and there are many more possibilities out there. One group proposed monitoring one million supergiants in an attempt to catch failed supernovae. Perhaps they'll be successful.