Not to worry.
I truly believe that had it been a missile and the government didn't know who fired it, that they would have scrambled together a "big lie" immediately in order to keep people from panicking. The very fact that they didn't come up with anything tells me that one of two things is true:
1. They know the source and it's top secret but not a foreign power or a terrorist incident or
2. They don't know the source but do know there is not immediate danger (if there is a hole in security, it would be in process of being fixed or closed)