The fact is, methane (natural gas) is almost odorless. The “gas” smell comes from a chemical that is added to the natural gas by distribution facilities, dimethyl sulfide. It is there for your safety, to alert you by smell.
In large quantities, there is almost always some of this chemical occurring in pockets of natural gas, but in much more lower concentration than may be easily detected by a whiff.
The dimethyl sulfide is the result of decomposition of certain organic material such as proteins, which do contain some sulfur. Pure methane would have no sulfur attached to any of its molecules.