So many reasons. If you want unlimited funding, if you want people to join, if you want citizens to feel safe… you really want them to feel like the government is powerful. You don't want people thinking that a dozen people with box cutters can fly planes into buildings. You don't want people thinking that "the greatest superpower in the world" can't defeat literal cave dwellers with ancient soviet era weaponry. You don't want people to know that China's military is much more advanced than the public is aware and they are routinely flying over US airspace undetected.

You want people to feel safe and pay their taxes. You want your citizens to believe that the $2 trillion spend on defense every year goes to good use, creating the kind of military and intelligence apparatus that Hollywood portrays.

We fund these types of propaganda campaigns for the same reasons we have military parades and air shows. We saw how well these kinds of "overwhelmingly powerful" government myths worked for both the Soviets and Axis powers in WW2 and we copied it. Every government chasing power and status wants its citizens to feel like they are the most powerful. China and Russia have similar kinds of myths.

But you don't have to take my word for it. Please, continue to believe that spaceships from other planets have crashed and some elite division within the US government managed to retrieve them and keep it secret for 50+ years. Look past the failing state of our infrastructure and continue to believe that an alien species capable of interstellar travel is interested specifically in Americans.