Maybe they should look into all the other figures of recorded history that probably did not exist. /sarc
Well, there are certain things scholars look for in determining whether a "historical" figure existed or not. Of course there are documents mentioning that person, but the documents that really clench the deal are those written by a figure's enemies. Do we have any writings from the Jewish leaders at the time mentioning Jesus?
Presidio9 trying to determine if Flavius Josephus existed...