While I believe it’s more likely than not that life exists, or has existed, elsewhere in the universe, I would tend to use Occam’s Razor here and look for a natural explanation involving something we already know does exist out there, like a large, dark planet or dead star, or something like that. Could it be an alien megastructure? Sure, it *could* be anything, but common sense suggests a natural explanation for the phenomenon is much, much more likely.
I hate how Occam’s Razor slashes all the fun out of things.