Trying to solve this very conundrum actually led to lots of the scientific advances of the late 19th and early 20th Centuries!
Basically the answer is that the speed of light is finite, so it takes light a certain amount of time to reach us from distant parts of the universe. On top of that, the universe is not infinitely old, so there has only been a certain amount of time for the light to travel.
The result of those two things is that only a finite (but very big) area of the universe is visible to us, and that area contains a finite number of stars.
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