Well no, we don't know that. But that's the current scientific consensus. Wouldn't make much sense to lay out every theory currently not disproven to answer a simple question though.
Edit: and to respond to your pocket universe theory, if our universe is infinite, as current scientific consensus indicates, there are no boundaries. That doesn't mean there can't be other universes though. Our universe being infinite and expanding without boundaries doesn't argue other universes can't exist. They just would take place outside our spacetime and we'd never be able to interact with or see them, and therefore can't prove or disprove their existence.