There's an old woman in Lacunosa Town who tells you about it. From Bulbapedia: "An old legend in Lacunosa Town describing Kyurem claims that it would take people and PokÚmon away from the town and eat them. It is unknown how much credence there is to this story, however."
It's just a few lines, but I found it really interesting.
Well, the legend the people in Lacunosa Town tell makes me think of Kyurem being some sort of grim reaper type, since he apparently ate the townsfolk every night. I ended up naming my Kyurem "The Reaper" in Black 2, and now it's stuck in my head.