Assuming you are referring to intelligent life, I think that other intelligient species aren't going to visit us. Why? Because they don't exist.
If you look at it from an macro-evolutionist point of view (which I think is insane, but for the sake of argument...), it was by chance that humans were created. It depended on quite a few random events at certain times that are very unlikely to replicate elsewhere, such as the hypothesized KT event.
From a Christian (creationist) point of view (which is where I am coming from), it means quite a few things, the most important of which is that Jesus would have to spill his blood multiple times for different species. I think Jesus spilt his blood once for all. I believe the only other exta-terrestrial beings are the angels and the fallen angels. However, I am not as confident in this view as I am in the Word of God.
However, it is possible. It's very unlikely, but there be another intelligient species visit us. Most unidentified objects can be identified somehow though; I'm sure.
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