I used to be fascinated with the UFO reports and such as a kid.
However, I grew up, and learned physics. And then later I learned about things like Molecular Nanotechnology.
Aliens, as popularly conceived, have not been here, and will not be coming here.
Why? I'll explain.
Space is big. Like, really big. The distance to the nearest star system is 4 light-years away. Even for a small object, it takes an enormous amount of energy to get going at a "reasonable" speed, like at some fraction of the speed of light. For an example of a more reasonably-sized object, Voyager 1 would take 70k years to get to the closest star system (4LY away) if it was headed in the right direction.
But then you have to stop! If you accelerate up to 0.1c (very fast), you have to decelerate to arrive at your destination. This is where the rocket equation kills you. Even with super-mass efficient ion drives (which with our current technology provide very low thrust), accelerating your spaceship to a reasonable speed, and then have enough delta-V to stop at the destination requires an even more crazy amount of energy.
If any aliens are headed to our solar system, we'd see their drive flairs from a long way out.
The most efficient system is to use a light sail (really, a laser sail). This is so you don't have to carry all that reaction mass with you, thus bypassing the rocket equation. And then there's a trick where you detach most of your sail, allowing it to reflect light back towards the ship for the deceleration half of the trip.
But again, even for a small (like 1kg) payload, this requires a stupendous amount of energy. And we'd see them coming because they'd be shining a big, big laser in our direction.
There are also Bussard ramjet drives, and other speculated technology, but these would all likely be slower because of the mass required to build it.
Now simply flinging out a bunch of von Neumann replicators out in every direction would be much less obvious (though very slow), until the space dust starts building infrastructure in our solar system... but that's a talk for another day.