They are. Well, it's a combination of ignorance, aliens, and drugs. Thousands of years ago, people saw strange things (ufos, alien beings, interdimensional beings, etc) and also unwittingly went under the influence of psychotropic drugs, such as the fungal poisoning from ergot that gets into bread. Religious cults explained these occurrances as all having some connection to a spirit realm, and the sky people were labeled as gods or angels or demons, depending on how nice to us they were.