"I found that on the Internet," is correct. I can't think of a case where we don't use "the" with "Internet", except for "your"/"his"/"our"/etc., and in those cases, it is used as an adjective. Examples: "I've lost my connection to the Internet." "You can get anything on the Internet." "How does the Internet work?" "Who is your internet service provider?" "My internet connection isn't very good." You can capitalize "Internet" used as a noun as I have, but not everyone does so.

Both are correct

on the internet артикль маст хэв

"I found that on the internet" is correct. You can alternatively say "I found that online."