I've said it before, but I don't think it is necessarily needing to believe in something more. I think it is the need for lower-IQ people to "know" something that us smarter people don't. Some of you maybe don't see it as much because you don't work around retards for years, but in general we're probably some of the smarter people wherever we work, right? Casually we drop knowledge about things, or solve problems others struggle with, or even just finish something faster than everyone else. After a lifetime of seeing people around them exhibiting those "smart" characteristics and recognizing the lack within themselves, the not so smart individuals latch onto anything that they can that appears to give knowledge that others don't have. It could be MLM scams that they are convinced will get them rich, or the latest diet/exercise craze (vegan, crossfit, "oh lawdy I'm allergic to the glutens!" etc.), sometimes even religion. Aliens fall into that category, because no one can prove them wrong, and it gives them an opportunity to put forth information that no one else is, even if it could be complete horseshit. They work themselves into believing it because now they can feel just as smart as those of us that actually are smart.
Sure, some of them do it because they want there to be more to life, but I think those are the "smarter" people who are just deluding themselves into it. Or recognize a grift when they see it. But even the numerous grifters are just a tiny fraction. And some think they actually experienced something, sure, but I think most people just hear it from someone else and think it sounds plausible.
If you look at polls that I can't find right now, a very large percentage of people believe in aliens, ghosts, squatches, etc. Way more than seems reasonable, given the TOTAL lack of evidence for any of it. But then think about how dumb the average IQ person is...and consider half of all people are actually dumber than that. Lots of them are just smart enough to realize they are dumb and be a little upset about that, and they desperately want to not be dumb. Aliens is perfect. So is joining Amway and telling all of your neighbors that you've found the secret to getting rich, or that drinking piss will cure cancer.
I truly believe this is why the majority of them believe the things they do.