Because 'aliens might exist' is a theory and 'there is stuff that happens in the sky that has not been formally explained' is a fact, why should we connect the two as evidence of one another?

'Cockroaches taste like jellybeans' is a theory. 'Many people waking up in the middle of the night, having heard a rustling, without being able to see put something in their mouth that tastes like a jellybean, living near and employed at a jellybean factory' is not evidence of this theory.