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No, they are stored in your presets folder. Look for Keyword Sets in the Presets and templates folder.
On Windows: C:\Users\'Username'\AppData\Roaming\Adobe\Lightroom\Keyword Sets
You can open the presets folder from the Lightroom preferences dialog: Show Lightroom Presets Folder ...
Thanks F. McLion, but I looked there and all I see are the default sets. I am pretty sure I copied my Lightroom Settings file over, so not sure why this would be the case.
Can you check on your old computer and copy all the presets again?
I tried that too but I think I must have erased them.