I think it is a combination of many factors, the largest being that the world governments simply don't know enough about them to disclose much of anything. Anything they disclose will only open the door for many, many more questions... questions they don't have the answers to. Also, I think our governments have acted with hostility (or, at the very least, xenophobia) toward them when they have tried to visit us. Their level of technology would have to be so advanced, I just don't see how they could travel from distant stars only to crash in Roswell,NM (right near an air force base, at that.) It is much more likely that our governments have intercepted and brought down a few of these craft in some clever manner that the aliens didn't anticipate.

I believe we've been less than diplomatic with them what times they have appeared, due to strict military and safety regulations on air space. We've chased them around with fighter jets, shot at them, etc. I think the governments don't want to admit that they've potentially offended these obviously technologically superior beings. To admit this would undermine their authority and only bring attention to the fact that they've botched every attempt at first contact. They have so little information aside from what we all can already assume, (they do exist, they are much, much more advanced than us) and they don't want to come out and say 'Oh yeah, by the way, we don't know very much about them, but we might have pissed them off.'

What if they know they screwed it up big time, and are just waiting for them to retaliate? I'm not saying the aliens are hostile (imo, they probably understand the concept of air space and realize they are taking a risk flying around without permission), but they COULD be.. and governments tend to keep these types of things quiet until they are more certain. This is one thing the government can't control, so why would they admit that when they can go on pretending that they have everything under control? Much better to just play dumb until the aliens force their hands and make their presence known on a large scale.