That's unusual- that unit must have been used by someone and they forgot the cable when packing it up again.
If you still have the PS2 the composite cable (red, white, yellow) cable with it will work with the PlayStation 3- this is the same type of cable that comes with the PS3. You could contact Sony and they would likely send you a replacement free of charge (contact info is in the user guide) or, if you were planning on hokking up to a high-def television anyway, pick up a set of component cables.