Nobody definitively says it's extra-terrestrial. In fact, the common thread seems to be that the entities are from Earth or from a dimensional space where that concept is potentially invalid. Other people speculate that they may come from the ocean. Regardless, I don't see much interest in the "they came from outer space" hypothesis, which makes sense, as it is very big out there and we already know a planet/region that sustains life and it's the closest planet of them all.

What isn't in contention is that there are unexplained phenomena to varying levels of description (president Obama confirmed the lowest level of description, i.e. that they exist and that they cannot be definitively explained).

A common additive to this contention is that these phenomena have intelligence and motives. You needent accept this, in fact I encourage you to not trivially accept it, but there is growing evidence that it is true. Is this a complete mind-fuck? Yes. Does that 'matter' in any real sense of the term? No, not really.

An additionally common follow-on from here is that the motives of the aforementioned intelligence aren't good and we cannot counter them using our technology, and this justifies the veil of secrecy. A lot of people seem very convinced by this. I can plausibly come up with some scenarios where this might be true, i.e. scenarios where knowledge would completely collapse the government, but I still think I'd prefer to have the information than not.

Anyways, the very concept you're highlighting is actually what is in the accepted UAP record. Theories, inconclusive evidence as to origin.

I have a feeling that the actual phenomenon relates to physics and the mystery of dark matter, and it's also probably a still very very small part of an even infinitely more complex, "higher" noumenal world, but I'm just speculating.