For the same reason people don't believe that aliens exist
We can draw an analogy between Santa and aliens.
- Although many people claim to have seen aliens, these people are treated as cranks or lunatics. Claiming to have seen an alien virtually guarantees you will be treated as mad.
- Although there are apparently pictures of flying saucers, these pictures could be CGI, could have a natural explanation, or could perhaps be hoaxes.
- Although aliens apparently leave crop circles, these could easily have been placed by students under cover of darkness. Likewise that extra present under the tree was probably dropped off by Auntie Flora last week, wasn't it?