Where are the chlorophyll found in prokaryotic cell?

Photosynthetic pigments are still found on a thylakoid membrane, but in prokaryotes, the thylakoid membrane is basically a super-infolded cell membrane.

As you know, in our more familiar eukaryotes (like plants), photosynthesis takes place in organelles called Chloroplasts, inside of which there are smaller, enclosed, highly-folded, pancake-like organelles called thylakoids. Chlorophyll is embedded in the membrane of these thylakoids.

Prokaryotic cells (like cyanobacteria) are much like free-living Chloroplasts...and in fact the endosymbiotic theory suggests that all chloroplasts actually once were free-living prokaryotes.

In prokaryotes, instead of having smaller, mini-versions of chloroplasts, they use their own highly-folded plasma membranes/cell membranes to do the job. Folds in these membranes are called thylakoids - just like they are in the chloroplast - and their surface is called the thylakoid membrane. Just like in the chloroplast, the thylakoid membrane is where all the photosynthetic pigments/complexes are found, including the chlorophylls.