I don't think the fact that we haven't detected alien life is puzzling at all. The costs of interstellar travel are such that it's never going to be something done lightly, despite what sci-fi writers seem to think and the signals coming from those planets would be very hard to identify.
Consider this for a second: We've had the technology, or at least the theory for it and capability to build for those theories, needed to build successful a generational ship for interstellar travel for 50 years now (the key technologies being the Orion drive and the O'Neill cylinder) and no ones even considered doing it because it would be ludicrously expensive. When you start talking about ships that could make the trips in sane time frames the costs get even higher thanks to the absolutely absurd energy requirements (not to mention disastrous side effects like causing gamma ray bursts).
As for the signals, we actually do have one or two signals we've picked up that could potentially have come from alien radio telescopes, but identifying them as such with any certainty is basically impossible.
Basically I don't believe we'll ever visit other stars until Earth is in danger of being destroyed, and then I think we'll do it once and only once. The only way around it is if we somehow figure out how to make stable wormholes, but I've doubts about that to.