Soldato
Maybe that was because he warned us it was going to happen
And therin lies the paradox. If he came back to warn us, then it happened in the future in which he lived. If it never happened, it would not have existed in that future and so he would not have felt the need to come back to warn us about something that never happened.
If, say, you created a time machine so that you could go back in time to kill Hitler. Once Hitler was dead, the very reason that you invented a time machine would cease to exists, and because of this, you would not have created that time machine in the first place.
The other theory is that time is immutable, that is it cannot be altered. So by creating a time machine and going back in time, you would achieve nothing. Hitler never died by an assassin's hand, so every attempt you made would be condemned to failure. This theory suggests that while the creation of a time machine may have been accomplished, there would be no proof of such a device, as there would never be any evidence of a time traveller influencing the past. This answers those who say "time travel must be impossible, as if someone had invented it, we'd know about them coming back here". Well, we wouldn't if they could not affect time.
The third option is one of parralell universes, in which someone comes back from the future to kill Hitler and their future splits from ours and they head off into a future without Hitler. However, this still falls down from agrument 1. If Hitler could be destroyed, the rasion d'etre for creating the time machine would never exist and so it would never be invented.