The problem is that, even if life exists on other worlds, space is so vast, that it is nearly impossible to identify the planets that have life, and it is even more difficult to visit those planets, if we were able to identify them.
Even light from distant stars left those stars billions of years ago. So how would any life emanating from those worlds ever communicate with us?
In science fiction, they can get around it with worm holes and other scientifically dubious phenomena. They put their astronauts in stasis (Planet of the Apes) so that they can travel vast distances but not physically age much and have minimal need for life support)
So we are left with this. If life exists, what are the chances it is intelligent? What are the chances it is intelligent enough to traverse space. Even if they were able to traverse space - and if they were able to send ships to explore space, and they came across us (which is what I divine that you imply by seeing a UFO) - it would take many thousands more years before they could send other aliens to do whatever it is they they wanted to do by exploring here.
Now, I suppose you could decide that they are so intelligent that they have been able to disguise themselves from us. Perhaps they live among us without our knowledge (Outer Limits). Perhaps they live on a nearby planet and have erased all evidence of their civilization (so that we never try to visit them)
If they are not in our solar system, then they are extremely far away from us. They would have to be amazingly long-lived or have found a way to break the laws of physics so they could travel faster than the speed of light.