A very clever alien..

[LadyForCamus]

Easy.

The alien doesn't exist and is just part of the childrens' imagination because they can't get over the fact that their existence is finite.

This fact scares them and they seek validation for their existence through fantasy.

Oh. And you think you got over the fact that your existence is finite ? The denial of death is a subconscious process and it doesn't help if you are an atheist. We just replaced this subsconscious process by belief in a deity, for good reasons -which are, by the way, equivalent to reasons for believing in any external truth. I am referring to Plantinga's God and other Minds here.

And, before you start prentending to have some mental strength we know from psychology nobody can possibly have, I have another book recommendation for you : read the Denial of death by Ernest Becker, it's a good book.