Its easy to consider that there would be such thing, well at least since the Copernican revolution and Galileo Galilei.
But now we seem to have our first evidence courtesy of the Hubble telescope.
It's been able to detect dips in light emissions of a certain star that undoubtedly indicate an exoplanet (planet outside our solar system)but potentially an exomoon(moon outside our solar system) as well.
For all the space buffs out there there is more information here and in the links contained therein.