The likely answer is that the 'aliens' are not just figments of imaginations powered by whiskey, but they are not creatures from other bodies in space. Rather, they are spiritual beings of some kind. With this in mind, our basic Catholic instruction kicks in and tells us to immediately stop and not attempt any contact. At all.
This seems to be a specific response. One could believe that something describable as "life" exists in other places without going into such areas you describe.
The claims about otherworldly events (abductions, strange things, MIB, etc) of course are probably mistakes or deception, or the misattribution of diabolical influence.
Personally, I think it is usually deception and mistakes of erring observers as a whole.
Whether or not there can be sentient beings on other planets or moons, that is an interesting question. On the one hand, I could foresee some obvious theological problems with that. I know some wonk from the Vatican recently declared a 'welcome' to non Earth creatures, but I personally think that we are far more unique than the Sciencists would have us believe.
The main source of belief in aliens is not in evidence or probability, but in the atheist idea that life on earth created itself (somehow), so there is no reason it can't happen elsewhere.