Sometimes it has an easy explanation given typical information asymmetries and incentive structures. For example, you don't give away any of your external intel during a war (i.e. cold war) in the case that you are identifying something by your enemy that might be trying to hide from you. Letting them know you can detect them would be stupid. Also, for similar reasons, record and catalogue every strange phenomenon in case it could be something.

The natural correlate from a citizen perspective is that the government is hiding something (i.e. UFOs). Of course it is, that's the point. But then the point becomes less of a point the less justification there is for wartime behavior, which then leads to increased speculation that the government is hiding something which at some points boils over into widespread public sentiment.

Then at that point there is both incentive to do selective release and for the media to cover it since they know readers want to read about UFOs, etc.

I think that's the Ockham's razor here.