alien-made hollow spheres containing a star; a means to harvest all the stellar energy for a vastly advanced civilization.
These are all options, and we shouldn’t close any possibility, no matter how extreme they may be.
There’s a reason why we haven’t received a signal via SETI, but we have no idea about what it could be. We really could be alone in the Milky Way. But then again, there’s a huge number of reasons why we might not be receiving a message from an intelligent species.
SETI may not be an interstellar switchboard, but the reasons for this are far from obvious. The theory that we are alone is just as valid as the theory that we are actually a part of a vast interstellar ecosystem. Until we have scientific evidence, we can’t say either way.