The Dyson sphere idea is sci-fi fantasy. Intelligent civilizations will do well to just survive much less build something so ridiculously huge. The inability to detect Dyson spheres doesn’t not mean there are no intelligent civilizations out there.
One possibility would be building McNeil cylinders, gaining the living space of a Dyson sphere but with far more versatility.
The other is what we’re doing now, increasingly turning inward to fantasy worlds instead of expanding outward.