We lack the amount of materials to make a Dyson sphere. We lack the engineering knowledge and know-how to make a Dyson sphere. We lack the ability to travel to the right orbit to make a Dyson sphere.
Honestly, we’re about six tech levels out from a Dyson sphere. What this means is we lack the tools to make the tools needed to make the tools needed to make the tools to make the tools to build a Dyson sphere.
We understand the concept of a Dyson sphere, but we’re at least a thousand years away from being able to attempt one.
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