Excellent point. If the Roswell incident is true, the answer might be that they wanted to make contact in a way that made themselves seem less threatening. Ergo, "oops, well I guess you have found me out."
Now read what Whitley Strieber says about the visitors in Transformation...
"I felt an absolutely indescribable sense of menace. It was hell on earth to be there [in the presence of the entities], and yet I couldn't move, couldn't cry out, couldn't get away. I'd lay as still as death, suffering inner agonies. Whatever was there seemed so monstrously ugly, so filthy and dark and sinister. Of course they were demons. They had to be. And they were here and I couldn't get away."
I've never read any of his anal-probe stuff. But I am familiar with "Warday" and "Nature's End", both of which I enjoyed mucho.
If you poke around the Serpo site, you'll find that the amiable aliens our team visited said that there were malevolent species in the stars, they had contact with them, had exterminated at least one, and managed to avoid the others.