An object in the sky just happens to be called unidentified, therefore if anyone sees such an object it does not necessarily follow that it is from outer space. There are those, however, who do believe in extraterrestrials, and famously among them was President Ronald Reagan who mused at the United Nations that a visitation by space aliens would unite all the nations of the earth. In addition, one of President Reagan's press secretaries told me (I have this on film) that the president genuinely believed in the existence of other worldly civilizations!
Many so-called UFOs have been seen throughout history: pilots, astronauts, astronomers and many other reasonable people have seen UFOs, therefore, there is more evidence for UFOs than WMDs, Hussein's involvement in 9/11, Al-Qaeda's relationship with Saddam and other patently non-existent realities that require a suspension of disbelief far greater than that required to believe in something that has actually been seen by countless people for centuries.
In addition it makes more sense to question someone who claims to hear instructions from some bronze-age sky god as opposed to actually seeing an unidentified flying object.