>>12542333We don't but it would be very unlikely because a dyson sphere or swarm doesn't hide the gravity which could be caught with gravity lensing. The sphere would also glow infrared assuming normal physics applies, if they weren't their internal temperature would continuously rise which is most likely something no species would want.
Obviously there is always some chance we missed something or that there is some tech that would allow to mask the spheres from the outside but practically that's not happening and would most likely require rewriting the laws of physics which is something you obviously want to avoid by coming up with "mundane" explanations for dark matter instead of just accepting it's something non baryonic.