The thing about that is all the energy from a star is still being radiated, just in infared. So if this was true a IR telescope should see a star like object with no visible light but a large amount of infared emitted.
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.
