FWIW, I was sent by ATC to investigate a UFO once while doing some night flying training in the UK.
I'd been watching lights dancing across the cloudbase somewhere over the town, thought, "hey, that's unusual," and left it at that. I was far too busy learning to land in the dark. But an old lady called the police to report a UFO, the police called ATC, and - because the fire crew went on a break and I was the only student that night qualified to be solo without them - ATC called me.
Turned out it was a new night club opening downtown, and they'd brought in some searchlights. The air was so clear that night that I could see clear across the country, so there was no visible beam from these things. And from the ground over the next couple of nights, I could see that they were programmed to form circular patterns on the cloudbase that, if you wanted badly enough to believe, could have looked like a flying saucer hiding in the cloud. But still, I got sent on a UFO hunt.