The Colonel's final take is interesting, if a bit concerning for the more exploration-minded: "I don't think we can do anything about it. I think this is beyond us. So: Quit worrying about it."
Personally I'm interested in the benign-animalistic properties of these phenomena. The entities often seem to have at least some basic sensing capability (regarding e.g. 'noticing' aircraft in the vicinity) and their reported maneuvers are in line with what I would expect from a less-intelligent, but still instinctual, entity. I wonder if they would respond additionally to stimuli such as playful maneuvers by nearby aircraft, things like that. Way out there, but only an idea.
Maybe they're not aliens and we just have undiscovered sky dolphins.
It’s at the same level as the evidence for paranormal hauntings, parapsychology, and cryptozoology.
At least Bigfoot has a higher existential prior probability, since you don’t have to posit that an alien intelligence randomly stumbled upon Earth or was sufficiently close that it immediately ventured forth upon detecting our EM radiation.