I have never been to an art exhibition why the have been used this type of sentence

In very, very general terms, 'to have been to' just states that 'I was present in the place', whereas 'to go to' expresses some sense of purposeful movement.

because in the sentence there is I which is in present tense as plural so have had been returned. It had took been because of present perfect tense used in sentence. Been is a form of be that is used in perfect tense.