So gods didnt create the dungeon, because they send adventurers to fight monsters in it. But then who created the dungeon?
Hmm, I think the dungeon is an existence created by the world will to force civilisations and races to evolve and constantly improve. That is my assumption. The Gods however are in no way possible involved in the creation of something that hates them and seeks their destruction. You have to remember that the dungeon is not controlled by the gods in anyway or form. Corruption happens everywhere meaning that the gods would seek to use the dungeon for their own benefits if it is controlled by them. Gods in DanMachi have desires, both pure(positive.) and dark(negative.).