That’s only one of the theories to explain Olber’s paradox. :)
https://en.wikipedia.org/wiki/Olbers%27_paradox
Don’t get me wrong. It might be true, but it is really more of a hypothesis than a theory until they can come up with a good way to test it.
Another reason is, that ‘space’ is so clean that the light from distant stars is not ‘scattered’ like in our own atmosphere....................