Or at least send probes there. We sent probes to mars and there wasn't even anything super interesting there. The UFO's could all just be drones.
Other mistakes we make are assuming that they are limited by the speed of light. It is likely that our understand of "travel" is just limited, and going faster than the speed of light is meaningless.
It could be something that comes from a place much closer than we expect.
It could just be black military projects that they are using UFO's as a cover story for.
Regardless, something really interesting is going on, and it seems like the public is getting really close to finding out.