That feature was not available in the initial release of Lightroom CC2015 or Photoshop CC2015. I believe the feature was added in the first update. Have you updated? The other thing that you may want to consider is that you must be using process version 2012 in order to see the filter. Also, it might be a good idea to check the Help menu in both programs to verify exactly what version you are running.
Building on Jim's response...
The dehaze feature was added in LR CC 2015.1. It is available in the UI only for the subscription users.
Standalone users of LR 6.x will need to wait until version 7.0 for this feature (just like 5.x users had to wait until 6.0 for new features). However, since LR CC 2015 and LR 6 are the same program, just with different licensing models, there are plug-ins and presets you can download that will allow access to the dehaze feature in 6.x by bypassing the Adobe UI.