So why not put something up for them to see?
Basically we'd need to create a light that could be seen from a great distance - like a star or a planet. Maybe even negative light. We find planets sometimes by watching for less light.
The Kepler space observatory searches for planets by measuring the light from over 150,000 stars, all at once, every half hour, and very precisely.
And what we're looking for is the tiny dimming of light that is caused by a planet passing in front of one of these stars and blocking some of that starlight from getting to us. In just over two years of operations, we've found over 1,200 potential new planetary systems around other stars. To give you some perspective, in the previous two decades of searching, we had only known about 400 prior to Kepler.
But it couldn't just be any light or lack of light. It would need to be something that looked odd to them. A pattern that wouldn't likely occur naturally, perhaps.
do we want to send a message?
There is of course the question of whether we want aliens to know we're here at all. It's possible, even likely that contact would not be a good thing.
Further learning: Be sure to check out Into the Universe with Stephen Hawking. The aliens episode is great, but you should watch all three if you can.