I suspect it's because the bible doesn't mention any other planet bearing life. It's pretty much heaven, earth, and hell.
The idea that God could have made more than one life bearing planet is too vast for the average mind to comprehend.
By definition an alien is someone from another country or possibly planet. Essentially any angle who visited earth would be considered an alien. In some biblical books there is talk of angles or "watchers" mating with human women.
In some non-religious circles it's been speculated that (we) are the aliens who came to earth after our original planet began to die. :)
All in all for most people if the bible doesn't mention it then it must not exist.