Governments keep stuff under wraps for many reasons. In the case of UFOs and all that potentially goes with them, there are a gaggle of them: mass panic; mass suicide; mass desertion of churches and religion; outright revolt.

The very worst outcome is people either demanding that contact be made, or succeeding in making contact themselves.

Conquest, colonisation, assimilation, exploitation, enslavement or extermination. Our own history shows these as the only realistic consequences of contact between more and less advanced cultures. If the 'aliens' are sufficiently like us to be interested in or capable of contacting us, one or more of those six will be the inevitable result. Barring a 'Prime Directive' law that they actually adhere to!

Failing that, our only hope is that we are so unlike them that they aren't even aware of us or have nothing to offer us.