Sorry to sound to over the top in the title but this is my theory on it. Governments know their there, but they do not know what they are (aliens, time travelers, other dimensional beings, crazy as yet unidentified natural phenomina, advanced tech from another country) , and they also realize that they can do nothing about them (they have scrambled fighters several times against them to no effect). Since saying this may cause a panic/cause to people to try to respond to them in mass on their own (trying to contact them or shoot them down), they feel that they shouldn't do anything other than saying they don't know or that they don't think it's real. This is what I think, not so much a coverup as a why get everyone worked up of we can't do anything about it anyway. Any takers?