1st, almost all cosmologists believe black holes exist.
2nd, the reason is simple. If a mass becomes large enough, gravity will collapse it to the point of being a black hole. Evidence for this is that no observed suns exist beyond a certain mass point, i.e. there is a limit on how large suns may be based on both observational evidence and mathematics. The explanation for there being no observed suns larger than a particular size, is that any such massive object collapses into a black hole.