Enrico Fermi famously asked why, if our galaxy really does contain other intelligent, technologically capable species, we haven't seen any trace of them. Against the great age of the galaxy, the time required for a civilisation to explore every single star system in it is relatively small, so we should have encountered a probe or something by now. That we haven't would imply that in fact intelligent life is not very common.
Speaking personally, I would very much like there to be intelligent extra-terrestrial life. I largely grew up on Science Fiction, so the possibility of humanity one day making contacts with aliens featured highly in my formative years. Ironically, I automatically assumed that ET would be friendly towards Humanity, despite this rarely being the case in SF films and books.
To rebut the Fermi Paradox I used to reason that ET would very likely be thousands or even millions of years more advanced than us, and so would have little interest in making contact with a such primitive species as we would seem to them. Indeed, they might not even recognise us as being intelligent enough to be contactable. A second line of defence was that perhaps we have observed evidence of them, but have wrongly constructed naturalistic theories to explain the evidence.
Recently a third possibility has occurred to me. I wonder if we're being a bit parochial in our assumptions about what an advanced civilisation would do. Sure, it seems natural to us that they would expand out from star system to star system, building that Galactic Empire I used to read about, but maybe your needs and aspirations change as your civilisation advances. When our culture looks into the future we typically have a time frame of no more than a few decades. Many of our politicians seem to look little further than the next election, so that's probably not surprising. I'd hope, though, that this would change eventually. A sufficiently advanced culture might conquer problems like ageing and death, and start to think on a far longer scale. When your potential lifespan might be measured in millions of years, and remote possibilities morph into inevitabilities, you might become rather risk-averse. Galaxies contain supernovas, wandering planets, and who knows what other perils. Sure, their advanced technology might allow them to, say, relocate away from a star that would one day explode, or maybe even dismantle the star to stop it going off at all. But an easier solution might be just to leave the stars behind.
I wonder now if the missing alien civilisations aren't to be found in intergalactic space, millions of light years from anything that could harm them. According to David Deutsch in his book
The Beginnings of Infinity (an excellent book, by the way), the density of matter is thin indeed out there, but a volume the size of the Solar System would still contain over a billion tonnes of matter, mostly Hydrogen. A sufficiently advanced civilisation, perhaps one that has moved from organic lifeforms to some form of miniaturised cyber-existence, might manage quite well.
'Might' seems to be the operative word in this post, so I'll permit myself to finish with another piece of even wilder speculation. Maybe a sufficiently advanced civilisation gets the option of abandoning ordinary matter completely, and migrates to dark matter. Then passing threats can be ignored as they'll just pass straight through you.
Additional: maybe this is how you'd do it.