I heard that there are more stars in the universe than grains of sand on earth, so we could use stars instead..

You're forgetting that it's easier to create rock dust from scratch than it is to create iron dust from scratch. That's important when you're comparing the two, since you can't simply scoop up iron dust off beaches and river banks anyway. Given the choice between manufacturing rock dust and manufacturing iron dust, the choice is obvious.

To manufacture rock dust you:

  1. Quarry rock.
  2. Pulverize it.

To manufacture iron dust you:

  1. Quarry ore.
  2. Pulverize it.
  3. Smelt it (which requires coke, a basket of worms in itself.)
  4. Cast it.
  5. Grind it.

We may be running out of suitable sand to use for concrete, but that doesn't mean iron dust is more abundant.