I does not look like you have done the rsyslog part, e.g creating /etc/rsyslog.d/haproxy.conf

global
maxconn 25000 # Total Max Connections. This is dependent on ulimit
daemon
nbproc 4 # Number of processing cores. Dual Dual-core Opteron is 4 cores for example.
log /dev/log local0 info
log /dev/log local0 notice
# haproxy stats socket is available at /var/run/haproxy.stats
## stats socket ./haproxy.stats level admin

defaults
mode http
clitimeout 60000
srvtimeout 30000
contimeout 4000
timeout http-request 5s # added to tackle slow http requests
option httpclose # Disable Keepalive

# Split static and dynamic traffic since these requests have different impacts on the servers
## use_backend bk_web_static if { path_end .jpg .png .gif .css .js }

## default_backend bk_web

listen http_proxy *:80
#bind *:80
balance roundrobin # Load Balancing algorithm
option httpchk
option forwardfor # This sets X-Forwarded-For
use_backend bk_web_static if { path_end .jpg .png .gif .css .js }
default_backend bk_web ##varnishBackend

# Dynamic part of the application
backend bk_web ##backend varnishBackend
## Define your servers to balance
balance roundrobin ## change to URL hashing
cookie MYSRV insert indirect nocache ## check this NOTE TO SELF
server server1 0.0.0.0:3002 weight 1 maxconn 512 check
server server2 0.0.0.0:3003 weight 1 maxconn 512 check
server server3 0.0.0.0:3004 weight 1 maxconn 512 check

# Static objects
backend bk_web_static
balance roundrobin
server server1 0.0.0.0:3002 weight 1 maxconn 1000 check
server server2 0.0.0.0:3006 weight 1 maxconn 1000 check
server server3 0.0.0.0:3007 weight 1 maxconn 1000 check

and here is my rsyslog.conf file if anything:

# /etc/rsyslog.conf Configuration file for rsyslog.
#
# For more information see
# /usr/share/doc/rsyslog-doc/html/rsyslog_conf.html
#
# Default logging rules can be found in /etc/rsyslog.d/50-default.conf

#################
#### MODULES ####
#################

$ModLoad imuxsock # provides support for local system logging
$ModLoad imklog # provides kernel logging support (previously done by rklogd)
#$ModLoad immark # provides –MARK– message capability

# provides UDP syslog reception
#$ModLoad imudp
#$UDPServerRun 514

# provides TCP syslog reception
#$ModLoad imtcp
#$InputTCPServerRun 514

###########################
#### GLOBAL DIRECTIVES ####
###########################

#
# Use traditional timestamp format.
# To enable high precision timestamps, comment out the following line.
#
$ActionFileDefaultTemplate RSYSLOG_TraditionalFileFormat

# Filter duplicated messages
$RepeatedMsgReduction on

#
# Set the default permissions for all log files.
#
$FileOwner syslog
$FileGroup adm
$FileCreateMode 0640
$DirCreateMode 0755
$Umask 0022
$PrivDropToUser syslog
$PrivDropToGroup syslog

#
# Where to place spool files
#
$WorkDirectory /var/spool/rsyslog

#
# Include all config files in /etc/rsyslog.d/
#
$IncludeConfig /etc/rsyslog.d/*.conf

# Save HA- Proxy logs
local0.* /var/log/haproxy_0.log
local1.* /var/log/haproxy_1.log

Did you mkdir /var/log/haproxy ?