Technically,
Dyson's original 'sphere' was actually a huge
cloud of energy-collecting devices in orbit around a star, implemented by an
advanced alien race. It's a little
implausable, but Dyson proposed the concept because such an apparatus would generate an enormous amount of
black body radiation, measured as
energy in the
infra-red spectrum, and could be easily spotted by a
telescope on
Earth.
Always hot for a new idea, SETI tried scanning the sky in the infra-red range, and subsequently discovered several infra-red transients in the sky that fit the description of a dyson sphere. I can't remember if they were able to come up with an astrophysical explanation for these points.