He did recently in an interview say that he's never seen any evidence aliens have been to Earth (but acknowledged that they're almost certainly out there somewhere, pretty normal take)
There's definitely been some weird shit in the skies a few times, though. Whether natural phenomena we're not familiar with, or some kind of tech we don't know about, or whether that tech is from Earth or not, is unclear. I generally lean toward natural phenomena, though. People tend to assume we already know basically everything about reality, which I find super arrogant. Our current model of the universe only makes sense if, like, most of it is made up of a type of matter we've never observed. We don't know jack shit. Weird shit in the sky could be anything from undocumented weather phenomena to undocumentable spacetime phenomena.