We know that there is no "intelligent" life other than us in our solar system, and it would take hundreds of years to travel here from a neighboring solar system, therefore the aliens must be from another dimension not another planet. We know that other dimensions exist by studying how atoms move, read Michael Crichton's Timeline (he explains in detail).
There is a mountain of supporting evidence that these alien beings do exist, but we only assume they are from another planet because during the time they were first discovered (1940's) we knew very little about the universe i.e. we didn't know if there was life other planets in our solar system. So, the most likely explanation is that they are from another reality not another planet.

It certainly would seem like an awful lot of trouble to go to over something that didn't even exist. I'm speaking of course of all of the agencies and programs that have been dedicated to dealing with this problem. All of the activity surrounding this issue, and even the need to classify information on this subject is itself disclosure already... they're admitting there's something there that needs to kept hidden.I want to tell you all a bedtime story...There once was a race of sentient beings who lived on a planet which was unaware of any life outside of their own planet , and was intentionally cut off from relations with all other sentient races, from worlds both far and near. Why this race was so special, and what about their condition made this necessary I won't go into, but let it suffice to say that they had a very unsettled nature, as well as a violent and dubious past. At a certain point in their history (circa 1945), they made discoveries of such vast and destructive potential, that the safety of the other races who lived outside of their planetary sphere became potentially threatened. This necessitated both direct communication with the leaders and wielders of this new power, as well as some degree of education for them about the universe beyond their skies. This included some understanding of the normal day to day operations undertaken by us right in their own solar system.