Because they're all the same.

There is an alarming but very revealing homogeneity to the UFO literature, made even more suspicious by its similarity to all "studies" of the paranormal. It doesn't matter what topic you pick, UFOs, spirits, Atlantis, orbs, rods, demons or apparitions of religious personalities; it is always interviews of dubious eyewitnesses or phony authorities or "reports" with no opportunity to cross-examine or even to verify their actual existence. The reports all have the same rhetorical characteristics: a breathless and deliberately exaggerated air of wonder and outrage that no one else seems to take them very seriously, and eventually, the usual accusations of conspiracies and obfuscations by evil government or corporate villains. They are not designed to inform, but to persuade, using primarily rhetorical techniques. Even if UFOs were indeed alien spacecraft (or interdimensional travelers or extratemporal visitors) the literature devoted to them reeks of snake oil and Victorian advertising copy and is difficult for anyone to take seriously who isn't already convinced.

Just one example, staying safely away from UFOs, the Face on Mars.
When the first spacecraft images of the Face were published, it was pointed to as obvious evidence of a paranormal phenomenon, although anyone who spends any time staring at air- or spacecraft imagery would recognize it as most likely a chance casting of shadows. The fact that different images taken from different illuminations and perspectives showed nothing is conveniently ignored. Suddenly, all sorts of non-existent "NASA scientists" are quoted to verify its authenticityas evidence of a Martian civilization. When later, higher resolution imagery was acquired that demonstrated unequivocally its geological nature, the Face boosters countered with sordid accounts of government conspiracies.

Even if one account of some potentially paranormal phenomenon is eventually shown to be true, as was the case with high altitude pixies and sprites,
they can't possibly all be true. There are just to many strange things being pushed by the anomalists for all of them to be right. Of course, there is very good reason to believe all of them might be wrong. In any event, the overheated verbiage from the professional boosters simply can't be taken seriously. It all sounds the same. The hidden subtext is always

"Science doesn't know everything, the universe is not just a random collection of chaotic and purposeless events indifferent to our happiness and welfare, maybe we can negotiate with it for health, love and success in business, maybe we don't all have to die a pointless and meaningless death, maybe we're not responsible for our own happiness and meaning."

The universe doesn't give a shit about us. Any other attitude is just hubris on our part. Embrace Oblivion. It's not all that bad, just think of the alternative.