People have looked. There are some candidates that have not been ruled out, but are not particularly promising. Do a Google Scholar Search for "IRAS dyson spher

People have looked. There are some candidates that have not been ruled out, but are not particularly promising. Do a Google Scholar Search for "IRAS dyson spheres" and you'll get oodles of papers describing attempts, new places we might look (I recall one suggesting they might all be surrounding the galaxy's central blackhole), current theoretical limits of our ability to search, new methods we might use to find them, etc.