Is there any proof that aliens do not exist ?
Humans have not been able to discover extra-terrestrial life (or aliens as you have put it) though this does not mean in any way that extra-terrestrial life does not exist.
There are trillions of stars in the Universe, many of which could have a planetary system and it is highly likely that life exists on these planets. Though most scientists consider life to exist only in environments that allow organic compounds to be created new research has indicated that life could also be based on inorganic compounds. This further excludes the necessity for carbon and water to be present for life to develop. Also, there are many sources of energy other than heat from stars that can be used by living organisms, evidence of this is lifeforms that live deep in the ocean and use heat from the core of the Earth to sustain themselves.
Alien life does exist, there is no proof against this. It is only the fact that such life has not been discovered till now that has created a feeling among humans that life only exists on the Earth.
In the question of UFO's, light in the sky, etc.there is a term called "Occam's Razor" that applies. "The simplest solution is probably the right one.". Whatever explanation you come up with--weather balloons, experimental planes, etc., or any combination--the construction of a whole advanced civilization that "visits" us is not the "simplest solution."