They are still supported and works perfectly fine still. Remember that browsers supports different DOCTYPEs (HTML5, XML, HTML4 strict and non strict etc) and they are not going away anytime soon, probably thousands and thousands web sites out there that doesn't implement HTML5 and never will.

Frameset is deprecated in HTML5, but your index page can be of the older frameset DOCTYPE and each frame valid HTML5 page with a <!DOCTYPE html> declaration. This is why frames (and iframes) are actually great because you can mix old an new.

    <!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Frameset//EN" 
      "http://www.w3.org/TR/html4/frameset.dtd">
    <html>
    <head>
        <title>My page</title>
    </head>
    <frameset cols="100%" rows="10%,*,10%">
        <frame name="header" src="header.html">
        <frameset cols="20%,80%" rows="100%">
            <frame name="sidebar" src="sidebar.html">
            <frame name="main" src="main.html">
        </frameset>
        <frame name="footer" src="footer.html">
    </frameset>
    </html>

e.g main.html

    <!DOCTYPE html>
    <html>
        <head>
            <title>main</title>
        </head>
        <body>
            main
        </body>
    </html>