>>11549399? A black hole is just a big lump of mass bigger than a certain mass threshold for its radius.
There are big lumps of masses everywhere. There are big lumps of mass that are big enough to turn into black holes after they contract from their fusion reactions running out of fuel.
There's not much of in terms of assumptions to be made when saying that black holes exist and objects observed which matches the properties of a black hole is a black hole.
On the other hand, alien sentient life forms that are advanced enough to build a Dyson sphere around en entire star massive enough it to have the same gravitational forces as a theoretical black hole?
Nah.