Correlation most certainly does not imply an unknown relation between facts.

In fact, there are more completely unrelated correlations than there are correlations caused by related things. This is simple statistics.

Proof? Consider M things related that show a correlation. Suppose some other thing randomly by chance correlates, and that thing has N items correlated by some other set of related facts. Then all the not causally related cross correlations between the M and N items vastly outnumber the causally ones.

So no, correlation absolutely does not imply an unknown relation. It points to a place to look.