It's a BIG universe, and I suppose that some distant object we see as an infrared source might be artificially produced, and perhaps mis-identified as a more common object, but astronomers usually examine a particular object in more than one wavelength. Objects identified as infrared galaxies or stars are usually confirmed to be 'galaxies' or 'stars' by their positional coincidence with optical counterparts that can be studied in detail. I think it would be very hard to hide a Dyson 'Sphere' amongst the objects that we have detected so far in the infrared.