While searching for the reason why Danzo didn't get the Rinnegan, I want to ask if he actually knew the Rinnegan existed before the attack in Konoha? What are the evidences that support this fact?
Its probably never mentioned that Danzo knew about the existence of rinnegan.
But, if he knew, there are various reasons why he didn't have it on his arms.
One reason could be -
According to the wiki:
The first person to possess the Rinnegan was the Sage of the Six Paths. Because of the Sage's mythical status, many people believed the Rinnegan was only a legend or a mutation
Secondly, In the whole series only Nagato (not to forget all other pain) was shown with Rinnegan and they were always hidden in their village so no one ever found out till they actually fought against jiraiya when the frogs who were with him found out.
That means there was least chance of Danzo knowing about Nagato.
This is not a perfect answer but I guess this is the only detail revealed.