Well, if interstellar travel is possible, there's not much sense in creating such things.
If it's not, and for some reason one system holds enough resources to build those preposterous projects, they still wouldn't be solid objects.
The original idea of a Dyson Sphere wasn't about encasing an entire star in a solid object.
If you can do that, you might as well transfer your consciousness into a nebula and go visit the stars a whole new way.