I've also wondered.
Scientists discover new stars by measuring over a period of time, the spectroscopy of a star. They look for shifts in the intensity of different wavelengths in the electromagnetic spectrum, and can determine if planets are causing red shift (http://en.wikipedia.org/wiki/Redshift). This is why they've discovered so many new planets in the past 15-20 years, and continually discover more.
But if planets exist in lightless portions of space, then we'd have no way of telling, using our current way of discovering new planets.
However, I don't think planets can form without a star (look up "accretion disc," it'll explain how planets form) so any floating out in space without a star would have to have been knocked out of orbit, or something could have happened to its star.
Also, I imagine a planet floating without a star would also eventually be picked up by a system, once it entered that star's gravitational influence, or it could even be torn apart by opposing gravitational forces. Who knows? If they do exist, I doubt that they last long.