A question that I've asked here before: instead of trying to figure out where UFOs might be from, perhaps the question should be "when" they are from. Could they be time travellers from our distant future? Modern physics tells us that they just might be.
Time travel could account for any number of the weird aspects of UFO sightings, not the least the big question - why don't "they" reveal themselves to us? The simple answer is that they might not be able to - they may be able to observe, but not interact, whether through limitations inherent in time travel, or as the result of some sort of temporal prime directive.
Even more interesting, as a possibility, is that time travellers have been interacting with us, perhaps in ways of which we are aware, and perhaps in ways of which we are not aware. For example - what if future scientists, or historians, as part of a research project, are endeavoring to create multiple time streams, to see how things would have turned out if A had happened instead of B? By doing so, they wouldn't run the risk of altering their own time stream - instead, they would merely be creating a new time stream that continues on separately from the moment they effect a change, that they could then observe.
In short, we couldn't go back and save Abraham Lincoln, or kill Adolf Hitler, in our own time stream (what's done is done, and even if we could, then we would cease to exist, because we would have changed our past), but we could go back and save Lincoln or kill Hitler to create a new timeline, and then watch how things played out.
Indeed, perhaps we are one of those alternate timelines? Perhaps, in the original universe, Hitler was killed, hit by a stray bullet during the Munich putsch, or, more likely, if you were a historian, killed in the July, 1944 bomb plot (if Hitler had been killed in Munich, he would probably not have been important enough a figure to bother with, but the July 1944 plot could have been a pivotal event if it had gone the other way), and some future historians decided to go back and see what would have happened otherwise.
Imagine the ethical dilemma if you knew that you could go back in time, and create a new timeline where Hitler would conceivably have almost another year in power before his defeat, during which time millions more would die - or worse, where the Nazis might have somehow managed to snatch victory from the jaws of defeat in 1944 / 1945, or prolonged the war through the intelligent use of new weapons. Would an ethical species allow such experimenting, and the creation of a new timeline that might lead to a world with real people (just not our people) that would suffer horribly, simply so we could conduct some historical research?
I have little doubt, watching the development of our timeline, that we would. And maybe, just maybe, someone else, somewhen else, did just that... and here we are today.