Some people's excuse for denying the existence of alien life is that if they existed, they would have visited us already, even though there has been millions of ufo sightings in the past century, and a large number of them are completely unexplainable.
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Fear of the unknown. I think it's quite arrogant of our race to think we are the only living things in this vast universe. Maybe we are the ones that are more advanced and we are the ones that need to find the aliens not vice versa.
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It is just as easy to turn your question on it's head and ask why people find such dumb reasons to try to prove the existence of visitors from space. They do this in spite of not a scrap of evidence in their support. Does it not strike you that what you claim as "millions" of sightings in the last century coincides almost exactly with the invention and subsequent use of powered flight? As a working scientist, I keep an open mind about whether alien intelligences exist. Out in the Cosmos, the odds would seem to suggest they probably do, but one thing that is certain, they haven't visited us! Actually, you also have the figures wrong. Only a tiny proportion of sightings may be termed unexplainable, but that doesn't mean you can jump to conclusions and label them automatically as alien spacecraft! Regarding your supplementary question, just how are the Government supposed to have made contact with aliens? By telephone? The Government is too busy running the country to play pie in the sky fantasy games, and in any case, they are not exactly renowned for keeping secrets, now are they?
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There is unlikely to be any connection between UFOs and aliens. If a culture had the technology to reach a different solar system, it would also have the technology to camouflage itself well. Whereas it does seem very likely that there is life elsewhere, it also seems very unlikely that UFOs are spacecraft. They could be secret military aircraft or simple misidentifications by untrained observers. Lack of explanation means just that, not aliens. There are all sorts of other possibilities.