The default HAPROXY install will will not log to a file…

You will need to modify Rsyslog and HAProxy configuration.

Rsyslog: Edit /etc/rsyslog.conf

# rsyslog v5 configuration file
 
# For more information see /usr/share/doc/rsyslog-*/rsyslog_conf.html
# If you experience problems, see http://www.rsyslog.com/doc/troubleshoot.html
 
#### MODULES ####
 
$ModLoad imuxsock # provides support for local system logging (e.g. via logger command)
$ModLoad imklog   # provides kernel logging support (previously done by rklogd)
#$ModLoad immark  # provides --MARK-- message capability
 
# ENABLED THIS FOR HAPROXY LOGGING
# Provides UDP syslog reception
$ModLoad imudp
$UDPServerRun 514
$UDPServerAddress 127.0.0.1

HAProxy: Add /etc/rsyslog.d/haproxy with the following contents

$template Haproxy,"%msg%\n"
local0.=info -/var/log/haproxy/haproxy.log;Haproxy
local0.notice -/var/log/haproxy/haproxy-status.log;Haproxy
### keep logs in localhost ##
local0.* ~

Done! After the changes, you will need to restart both HAProxy and Rsyslog.