Just because we have been taught to assign UFO phenomena to aliens coming from other planets does not make it so. (Actually, it might, but that's another ontological can of worms.)
We are stuck in a culture that needs to settle on one way to look at things, and uncomfortable with ambiguity, for the most part. Any non-human intelligence who wanted to "conquer" us, or at least make limited contact would do well to exploit this tendency, as well as our reliance on conscious sensory input to make their presence as subtle as a light breeze on our collective consciousness. No flying saucers, death rays, or even handshakes with the President needed.
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