Why did cavemen live in caves?

Because they had no education and didn't know how to build shelters.

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Don't under-estimate them. They had sufficient collective experience to look after themsleves and their fellows. If they were in areas that lack suitable caves they would have known how to make some sort of shelter from whatever was to hand, but if in an area offering roomy, dry caves (which are by no means as common as you'd think) then obviously they'd choose the best caves.