People wonder. My mother-in-law claims she saw a UFO once. I’ve met other people claiming the same. However, let’s look at what we know.
No, there is no proof, only anecdotal stories which is far from evidence based science.
To date we have never found even a fossilized microbe on a meteorite. We would like to know if there is life on one of the icy moons around Saturn or Jupiter, but as of writing no life from any place other than Earth has ever been detected.
It is likely that life does exist somewhere in the universe besides here, but there is no proof that any intelligent beings have ever visited us.