Because we HAVE been to one side, the outside, which is normal space, the space we live in, and we understand the physics of what must happen to normal matter and space upon entering the event horizon of a black hole. We understand and have proven the effects and process of relativistic speed, so we know that on our side of a black hole is collapsed matter, the only part we cannot be sure about is what happens to that in-falling matter and energy on the OTHER side, on the inside of the BH, and there are several theoretical possibilities including a singularity, a wormhole out to a white hole somewhere far off elsewhere in space, or another dimension where our known laws do not apply, but there is no way to test any of that as there is no returning from the other side, and even if we wanted to try, the nearest known BH is over 1500 light years away, which is about 170,000X farther away than the closest that Mars ever gets to us.