Here's a great lecture on this question of "well don't we need experiments? Is this all crazy physics conjecture?"
http://www.cornell.edu/video/nima-arkani-hamed-philosophy-of...
Black holes are the phenomena where quantum mechanics and gravity collide most intensely, and even theories of black hole physics compatible with both GR and QM are major achievements.
Edit: Although I agree the article is fairly opaque.
Edit: I apologize for being argumentative. Your question is somewhat intrinsic to the foundation of theoretical physics; given what we "know" now, what else can we logically deduce? There is no absolute answer, but that is part of the fun. :)
That's one way to do physics: You start with conjecture and try to find ways to prove it. (You can also do the reverse, find some unexplained thing and derive rules.)
In this case it might be millennia before we can prove it though.
The only observations we have are of supermassive objects. Do they have event horizons? We assume so, but no one really knows.