We shall call their species the Jonahnians

If a sufficiently advanced alien species had made planetfall, they wouldn't be in the sky. They'd be in the ground. Too many people looking at the sky. Too many people looking in the water. Unless this sufficiently advanced species could hide themselves from our technologies. I imagine, then, the water is the place to be. There are depths we could not peer upon casually. 

Also, it would not be difficult to hide inside large whales. They are protected from extinction, and contain vast quantities of space inside their fat bellies. Hollow out a whale and or two and maintain the illusion of movement. If the alien is small enough, they could fit a pretty excellent colony inside the whale. Small enough, and it will be a whole world. Imagine the conical space ships that spin to produce gravity. Wouldn't a small one of these fit handily inside the belly of a blue whale? 

I think if I were a small alien, that's the place I'd hide to study the people of the world. I'd colonize the planet by colonizing the whales. The water, after all, is a lively place, full of beautiful wonders that are probably more familiar to aliens than our hills and mountains and forests above the ground. 

That's where we should be looking for aliens: in the bellies of whales. SETI should be turning their antennae to the whales.