Well, there are many things that you need to take into account:
1. Signal strength: Currently the strength of the signals of Earth is weak enough that they are barely recognizable at any significant distance. I haven't done the math, but you'd have trouble receiving Earth's signals even from Mars, you'd pick them and recognize their artificial origin, but for making out what we are saying you'd need a significantly big radio telescope if not something bigger.
2. Not enough radio telescopes: Our radio telescopes are way too small. Cover the entire far side of the moon with an enormous array and then we're talking.
3. Directed signals: The number of unidirectional signals that we are sending and receiving is going down. Satellite TV is directed towards the Earth, interplanetary communications are directed at the planet they are for, cellphone networks are directed in the plane parallel to the surface. It's to be expected that an advanced civilizations would leak only a small portion of its communication signals into space.
4. Digital signals and shy aliens: When encrypted, digital data is unrecognisable from random noise. Of course, that's not necessarily true for the signals carrying it, but if the aliens wanted to hide their signals they could. They could create an artificial signal that looks exactly like a natural one if they wanted to.
5. The universe doesn't have to be overpopulated: While it's foolish to think we are alone in this vast universe, it's not unthinkable if our closest neighbours are really really far away. We might be lucky if there's another civilization in our galaxy, let alone the nearby stars.
6. There are way too many stars: We can't listen to all stars at the same time, if you want to pick something you need to isolate a really small area of space. The smaller the area the bigger the chance of finding something. It would take a lot of time to cover it all.
7. Too much noise: There are way too many natural signals to filter out.
8. We might have picked alien signals already: Just because you can't confirm the artificial origin of something it doesn't mean that it's not artificial. The signals might be barely recognizable against the background noise and we didn't work hard enough to tell them apart. Or perhaps we told them apart but we couldn't confirm their origin. Remember the WOW signal? It could have been an artificial signal directed to our location, but we would never be able to tell – it might have had a message encoded, but because of (1) and (2) we weren't able to read it. It's a bit disingenous to say “if there are aliens where are their signals” when we did get some signals that do not seem to conform to something natural.