The most popular theory is that they are either from this planet (but have heretofore been mostly undetected) or are from a parallel dimension (parallel to the dimension in which this planet exists).
They're from Wakanda and they're searching for the vibranium. The military and intelligence agencies of the entire world are complicit in keeping the secret.
Or they're USAF.
[...parallel dimension...]
Wouldn’t it need to be a perpendicular or intersecting dimension for us to have contact? I can live with a parallel dimension. They stay on their side, I’ll stay on mine.