I don’t know why people believe it, but here’s why I don’t believe it.
Where do these aliens live? A hundred light years away, a thousand, a million? Traveling at the fastest speed ever achieved it would take about 150 to 200 years to reach the nearest star 4 light years away. To travel to the Trappist-3 system would take about 1500 years one way.
The same problem exists for spacecraft building societies on other worlds. It is even unlikely they know we exist because of the vast distances, anymore than we know they exist.
Space is mind-boggling big, bigger than most UFO believing people realize. There is almost no chance we are being or have ever been visited by aliens from another star system.