Why would you tell someone that you don’t have proof to what they saw? There are many famous incidents of people revisiting. Many are mentioned in Sefarim. Rebbi made Kiddush — although that wasn’t a ghost. There are many references in Chazal of Ruchos.
As for stories of abduction, I wouldn’t be that arrogant in that case either to say that because I can’t believe it, it didn’t happen. It is by no means as common as ghost sightings. It sounds exotic to us because aliens aren’t a well found existance. However, whoever said that they are aliens? Perhaps the person got entagled with some ‘Sheidy’ business. The concept of a Sheid doing things to people is not unheard of in our Sefarim. The Ritva does say that these things were more common in the north than here.