Lotta holes dug all over that cliff face.
I think thats what gave them the idea, those holes are naturally occuring. (the smaller ones are all over the cliff faces)
“Lava: Frijoles Canyon has been created by Frijoles Creek, eroding through thick deposits of volcanic rock - mainly tuff, which is full of natural cavities - originally air pockets in ash deposits from volcanic eruptions several thousand years ago. These may be several meters in diameter, and were used by the Anasazi peoples between 700 and 450 years ago as the basis of their villages. Selected cavities were enlarged, linked together and augmented to form clusters of dwellings in many places over several miles of this rocky land southeast of the Jemez Mountains. The ash originated from volcanoes at the site of Valle Grande Peak, a few miles to the west. Various hot springs in the nearby forests still hint of continuing thermal activity. Together with some more conventional ruins along the canyon floor, many of these unusual dwellings are just a short walk away from the Monument visitor center, and a 2 mile loop path allows for easy viewing.”
http://www.americansouthwest.net/new_mexico/bandelier/national_monument.html