Because all he is saying is he thinks he saw something. Humans think they see things all the time and are mistaken. Our brains are easily fooled. I'm not saying he's lying, I'm saying the chances it was a UFO is essentially zero.
The one thing no one ever has is actual proof. A sample of the ship or the aliens, its always an image that could be explained in other ways that doesn't involve aliens crossing lightyears. These aliens having created the technology to either travel near the speed of light or faster than the speed of light, solved the energy problems of that velocity to get here and back and solved the shielding problem of travelling at those velocities. They've solved all that, problems our greatest minds can't even get their heads around to think how it could be done but then crash, again and again when they get here. And you wonder why some of us think its utter nonsense?