The article doesn't say there is no video evidence. Seems like at least two separate helicopters saw and pursued it. The FBI have enough evidence to describe its size. They may have video they aren't sharing. Odd thing to make up.
[1] https://www.thedrive.com/the-war-zone/41223/tucson-mystery-d...
[2] https://www.thedrive.com/content-b/message-editor%2F16243890...