It's a conspiracy theory that exalts the government/military and a narrative that they control. Why wouldn't you want skeptical populations thinking that they can trust you, that you're skilled and competent, and for whom you can use slight of hand to easily influence and distract?

US adversaries can easily turn their drones into a panic when they fly in US airspace, and I believe that the instances where actual drones are involved, those are attempts at adversaries to surveil our military and government and to scare the populace. That's to say adversarial drones have an additional use as psyops weapons against civilians and military weapons. Being able to send whatever you want into US airspace and the US being unable to do anything about it can be perceived as being threatening and scary.

A counter narrative to that can involving some UFO/alien mystery can quell panic and instead foster wonder and distraction.