וַיֹּאמְרוּ אֶל מֹשֶׁה הַמִבְּלִי אֵין קְבָרִים בְּמִצְרַיִם (Ex 14:11)
About what were the Jews complaining in particular?
The question is a bit stronger than worded above, so allow me first to restate it. The pasuk has the Jews demanding of Moshe, "Did you take us to die in the desert because of a lack of graves in Egypt?". The question we're addressing here is why they mentioned that Egypt has graves. It seems odd. If they wanted to stress that dying is just as possible in Egypt as in the desert (which does have a nice rhetorical flourish), why not word it as "Did you take us to die in the desert because we couldn't die in Egypt?"? Why graves specifically?
I suspect an answer may be as follows. However, it's my own, and merely a conjecture.
According to one explanation in Rashi to 13:18, 80% of the Jews died a short while before these events. Rashi to 10:22 says that these were the Jews who had not wished to leave Egypt, and were r'shaim. These Jews were, presumably, buried. However, the other Jews would not want to be buried near them, as we don't bury r'shaim near tzadikim. So there was a valid concern that, what with all the new Jewish cemeteries in Egypt, full of r'shaim, there were, indeed, no cemeteries for the tzadikim.
But now that the Jews were regretting having left Egypt, they were putting themselves in the same boat as those who had died. Either the live ones were admitting to being r'shaim like their dead cousins, or they were claiming that their dead cousins were in fact tzadikim. Either way, they could be buried near them. So they demanded of Moshe, "Did you take us out here to die because there were no usable graves in Egypt? because we are tzadikim and those cemeteries are for r'shaim? It's not true! We could just as well have been buried there!".
The answer given is simple.
The Jews were in a sticky situation. On one hand, they saw the Egyptians closing in on them. On the other hand, Moshe is busy with Yosef's bones. Hence they scream "WHAT!! IS THERE NO CEMETERY IN EGYPT?" Unfortunately, they suffered for their words, as almost all the people there did end up dying in the desert, which illustrates the power of words.