We know how we got here and it wasn't in spaceships.

In my strange universe intelligent species who don't obliterate themselves make the leap to near-omnipotence rapidly, before they build any silly things like starships, which would be quite boring as they wouldn't go faster than light.

This big universe is very threatening to certain religious beliefs, in that aliens are more powerful than their gods.

A being like Q, who can pop out of nowhere to harass Jean-Luc Picard in a galaxy of 100-400 billion stars or more, makes humans seem very small and insignificant, which they are.

It's much more comfortable to believe humans are special enough that aliens in space ships are watching us.

The truth is harder. We each have to determine "the meaning of life" on our own, even as nearly omnipotent beings. This meaning cannot be found in science or religion, it's unique to each individual.

On a less philosophical note, funding for UFO studies is easily diverted to less savory pursuits. Suppose you are looking for aliens or rogue artificial intelligences on the internet. Sounds fun, right? You might use the same technology to identify hidden political enemies as well.

Remember the Glomar Explorer? That ship was supposedly looking for manganese nodules on the ocean floor. I remember the popular science articles. The ship was in fact built to recover a sunken Soviet submarine.

In any case, supposing some alien near-omnipotent intelligence is teasing us, then there really isn't anything we can do about it, no defenses we can muster. It's trivially easy for a star-faring people to destroy an emergent civilization that annoys it. Maybe that's what happened to the dinosaurs.

If the space aliens want to talk to us they will. Otherwise we are just monkeys screaming at the airplanes in the sky.