The utility sudo runs executables as root or another user. The command cd is not an executable, it is command that is built into the shell so you can not run it via sudo. [by hawkmage]
I have added the following entry "Defaults logfile=/var/log/sudo.log" to the "/etc/sudoers" file and it logs whenever a user runs "sudo su - root" to elevate himself as root. But it doesnt log any other command after that the user executes in that sudo session.