I don't think Dobby was referring to Horcruxes. Dumbledore himself tells Harry that he didn't clue in on Horcruxes as the issue until the end of Chamber of Secrets. This part I addressed in your question Why Didn't Dumbledore Seek Out the Horcruxes Earlier a while ago, so I won't rewrite all that here. The important thing is Dumbledore didn't begin to suspect Horcruxes until after the diary was destroyed at the end of Harry's second year. Quick quote:
Dumbledore paused for a moment, marshalling his thoughts, and then said, ‘Four years ago, I received what I considered certain proof that Voldemort had split his soul.’
‘Where?’ asked Harry. ‘How?’
‘You handed it to me, Harry,’ said Dumbledore. ‘The diary, Riddle’s diary, the one giving instructions on how to reopen the Chamber of Secrets.’
Half-Blood Prince - page 467 - Bloomsbury - Chapter 23, Horcruxes
In that same chapter Dumbledore explains that Voldemort told Lucius that the diary would reopen the Chamber of Secrets, but he did not go so far as to tell Lucius that the diary was a Horcrux. This is supported in Goblet of Fire, when Voldemort says, "I, who have gone
further than anybody along the path that leads to immortality." and Dumbledore reminds Harry, "That was what you told me he said. 'Further than anybody.' And I thought I knew what that meant, though the Death Eaters did not."
If Dumbledore did not know of the existence of the Horcrux(es) until the end of Harry's second year -- and did not have absolute confirmation of this until Half-Blood Prince after viewing Slughorn's memory of his conversation about Horcruxes with Tom Riddle -- I can't imagine that Dobby knew about them. Especially as Lucius did not know of their existence.
There is no canon or JKR evidence that I know of that confirms or denies outright the idea that Dobby knew that Voldemort had created Horcruxes. It seems more logical that he just knew about the Chamber of Secrets, likely from overhearing information he shouldn't have at Malfoy Manor. After all, he did have awfully big ears!