Android Studio has changed its project structure yet again... now it is
You can click on the Project window, press Alt-Insert, and select Folder->Assets Folder. Android Studio will add it automatically to the correct location.
You are most likely looking at your Project with the new(ish) "Android View". Note that this is a view and not the actual folder structure on disk (which hasn't changed since the introduction of Gradle as the new build tool). You can switch to the old "Project View" by clicking on the word "Android" at the top of the Project window and selecting "Project".