Of course, we're open to the possibility of life existing wherever we find evidence for it. However, the majority of searches for alien life are limited to our own galaxy, and our own local region within it, for a variety of reasons.
First, all other galaxies are millions, or billions, of light years away. Since nothing can travel faster than light, this means that the most up-to-date information we can get on these galaxies, and everything in them, is already really, really old. If you flipped the example around, the problem becomes a little more clear; human civilization has only been sending signals into space for the last hundred years or so. That means that the nearest galaxy is still going to have to wait 2 million years before it's even possible for them to detect us. Even worse, it would take 2 million years for any message they transmit to reach us. So, maybe 4 million years from now, we might receive a message that says "Hello from Andromeda", but we may not even exist in 4 million years!
Another problem is the massive amount of information that gets lost while traveling those huge distances. Human radio signals are so weak that it would be almost impossible to detect them even from within our own galaxy. This is due to the Inverse Square law, which describes the way that electromagnetic signals decrease exponentially with the distance from their origin. This means that it would take an enormously powerful receiver, or an enormously powerful transmitter, to communicate between galaxies. To date, we have not detected such a signal, which may indicate several possibilities; that there is no life in the universe capable of sending such a signal, or that it is not being sent during a time at which we can detect it, or that it is being sent in a way that we lack the technology or philosophy to understand.
To date, we have no proof of life in these galaxies, and very little evidence of habitable planets. This doesn't mean that they don't exist, but it seems reasonable to assume that detecting life in other galaxies is going to be a lot more difficult, and that we should prefer to look for life and planets in our own galaxy and then make predictions about their presence outside of it.
Basically, it's much easier to look for life within our own galaxy because most of these problems are greatly diminished by the relatively small distances. It's also much easier to detect planets around other stars using methods that would be impossible at galactic distances, such as a Doppler wobble. There's also the question of what we would do if we found life; it would seem like a waste if we didn't try to communicate with it, or visit it. Visiting or talking to things within our own galaxy seems like a much more feasible first step.