As a Christian, I am open to the demon explanation, and perhaps there is some of that as well. More likely, however, there are still a few phenomena out there that our scientists haven't yet discovered, and very likely a whole lot of secret hardware that's been tested over the years, but that nobody is EVER going to admit in public.
As a Christian, the mere proposition that there might possibly be a few other planets out there in the universe capable of supporting life, and that God might have even created life on some of them, is not particularly bothersome. However, the necessity for such planets to be largely -- but not completely -- covered by oceans and an atmosphere that is not excessively toxic or pressurized (like Venus's) imposes a stringent set of constraints on planetary size and orbital location that would limit the number of possible planets to a very tiny fraction of all existing planets, even though it now appears that planetary systems are fairly common. To this must also be added the fact that unless the planetary system is located in the outer margins of a galaxy (as is ours), the radiation levels from the mass of stars in the center of the galaxy would be lethal to life, further limiting the number of possible candidate planets. Thus, we are truly talking about just a few planets, not the "milions and millions" that Carl Sagan and his fans would have us believe.
Added to this, there is no reason to suppose that the existence of life on another planet necessarilly must result in the existence of intelligent life. As a Christian, I have to believe that absent God's special intervention, it is in fact impossible that such would exist. But even if you fully buy into the evolutionist thinking, there is no reason to believe that intelligence is an inevitable outcome of biological evolution. Thus, even if intelligent life on other planets exists, it must be extremely rare.
Thus, even if such intelligent life could exist, it would be so few and far between that the cosmic distances would be so vast as to likely preclude any possible contact. Science fiction notwithstanding, science fact is constrained by the fact that it is not possible to travel at the speed of light without being pure energy, and that any living or even just robotic payload would thus necessarilly be constrained to traveling at a mere fraction of the speed of light. This would seem to me to necessarilly limit any interstellar research device to a radius of perhaps a few hundred light years at the very most -- too small a radius to allow for any contact with another intelligent life form, excepting an extremely forituitous happenstance. I can't imagine any society, no matter how advanced in its intelligence, that would be willing or able to launch a robotic probe that would travel through space for tens or hundreds of thousands of years, and then radio back its findings. The likelihood that something would go wrong in the interim, causing the device to fail, would just be too great. Also, the likelihood would be that future technological advances would make the device obsolete. Then again, how could they even be certain that anyone would be around by then, or would remember to listen in, or would still be able to understand the message? It is even more improbable that any intelligent being would volunteer for interstellar voyage of more than just a few light years, for the voyage would necessarilly have to become a multi-generational one. The original volunteers would never see their objective, let alone return to their home planet. Nor, for that matter, would their offspring. Any such intelligent beings would inevitably have difficult ethical problems with such a proposition. Such long voyages, in fact, would only possibly be contemplated if colonization of another planet were the objective. If the target planet is uninhabited by other intelligent life froms, such a voyage might perhaps be contemplated. However, the idea that any society of intelligent beings is going to send a massive fleet of ships across vast cosmic distances in a voyage that will take multiple generations, and then expect their descendants to successfully fight a war of anhilation against the entire target planet's population, is pure science fiction, and nonsense at that.
Sorry, but it is unlikely that they are out there, and it is certainly impossible that they have come HERE.
That very positive statement brings to mind all of those cave paintings that show guys with hats that positively look like space helmets.