That's true, and stealth is an interesting proposition. However, there are probably easier methods of preventing detection, such as not building a giant structure in the first place. Also, even if they manage to radiate away most of their waste heat, they'd have to assume eventual detection by an advanced civilization. Sure, with exponential effort you can always get infinitesimally closer to being virtually undetectable, but is that really feasible?
In the end, it's certainly not impossible that a civilization would go to extreme lengths in order to hide its enormous artificial structures. But the real issue is: why would all civilizations hide in this way? And if it turns out they do all have elaborate stealth tech in operation, that means there must be an incomprehensibly huge threat out there - which in itself might be the answer to why nobody is calling us up.