This particular package in Eagle does not have mounting holes. You may want to use a part from that library with a different package, one that does have mounting holes, like the F09H package.
Alternatively, you can draw your own mounting holes on the board (use the 'via' tool in the Eagle board editor), ensuring you choose the right locations and hole diameter. It would be best, however, to draw a part that is an exact match to the one you are using (there are lots of slight variations on DB9 connectors so it's best to check out exactly what you're getting from Eagle against the part's datasheet). That way you don't have to worry about moving the mounting holes if you also move the part.
The Aussie Shield
: breakout all 28 pins to quick-connect terminals