And It's Got Fur

Astronomers Find Distant, Fluffy Planet

Perhaps we should name it Bugs? It sounds so cute. Just this huge, bouncy, floaty, fluffy planet speeding around out there, like a big soft bunny rabbit.

This is where ghosts come from. They're actually ETs that arrived on all those UFOs people have been seeing, showing up now and then after extremely long trips from these fluffy planets, where the only possible creature is extremely light and floaty and effectively weightless and insubstantial like a ghost. Because of this, they don't have their own form to hold on to, so they try to adapt to arrival on Earth and help us feel comfortable around them by taking our shape. They had no way of knowing this idea would fail and make us terrified of them.

Granted, they would have had difficulty making the UFOs themselves, which is why I propose the further theory that the UFOs were actually made by a seperate group of aliens from a different planet who passed through these fluffy planets while on their way to Earth. Either the trip was too long or something en route killed them off, but these ghost aliens floated in through the walls and hitched a ride (they need some sort of atmosphere or other pressure to keep from falling apart) and wound up here when the UFOs crash landed in hidden rural areas.