Why doesn't there need to be a why? Outside of art (and even there I'm not sure), there's always a reason - especially if we are talking about an advanced civilisation. There's also no reason to believe this hasn't happened:

1) Galaxies far away are also far back in time - they could all be Dyson-sphered by now and we would be able to know for millions or billions years.

2) This also might have happened elsewhere - we have no means of detecting what's going on in nearby galaxy clusters, or even within our own Milky Way really.

3) In this line of thinking, alien civilisations are always a walking oxymoron or paradox themselves: so they are super-advanced, yet have to be detectable, and they think like us but also don't, because they know about the consequences but don't care about them. They also act without reason but at the same time with purpose. And they are superlong lived (or their machines are) yet feel the need to breed at insane levels to settle entire galaxies because of... of the resources they actually don't need if they wouldn't expand like crazy? - but wait, you said there is no reason - ah my head's spinning :)