I created an index approx 5gb in size but the file system doesn't show any difference in free space On a table with many millions of rows and two existing indexes (one clustered and one non-clustered primary key index) I created a third non-clustered non-unique index.   Before creating this index, in table properties the index space showed about 4.9gb.  After creation it showed approximately 9.9gb

I checked the disk free space in the OS of each disk before doing this.   I checked again after and there is virtually no significant change (certainly not to the tune of 5gb) on any of the disks.    I have checked again hours later and still no change.

I'm suspecting/assuming that some data file had a lot of free space inside it, and the new index simply occupied that already allocated space.  Is this likely to be what has happened?

Should I be concerned?
I'm suspecting/assuming that some data file had a lot of free space
  inside it, and the new index simply occupied that already allocated
  space. Is this likely to be what has happened?


Based on your description of events yes this must have been the case.

The free space might have arisen either due to the initial size of the database files leaving more than 5GB free, or last time it needed to grow the increment was big enough to leave at least 5GB free, or space was reclaimed from deleted rows or dropped items in the data file or some combination of these.