What it means is that when investigating the strange- it's better to leave the absurd for last.
If you have tried all the regular explanations and none of them work- then you can move into strange theories.

Like a pilot who witnesses a UFO.
Let's examine reality a moment:
We know the pilot's eyes can be decieved and his imagination played with
We know that Weather conditions can provide strange sightings
We know the details of his flight path etc- and can check it for anything unusual

So as an example:
Joe Pilot sees a UFO and reports seeing something strange. He does not name it as aliens or anything- he just relays that he's baffled.
Investigator A follows the story and concludes that he saw an unusual- but normal display- caused by lightning interacting with a low level cloud.
He explains it to the pilot- who looks at the evidence and agrees it matches what he saw and is happy to have found an explanation so he won't be left wondering what that was.

Later- the "Sensationalism Channel" reports that pilots story- but omits the part about him getting a satisfactory explanation.

Simply put- even the scientists are not totally dismissing UFO's as aliens. They are just looking for more likely explanations first. The fact that they find those likely explanations only supports the idea that UFO's are not aliens most likely- it isn't a definitive dismissal really, even though it seems like one.
Because if you ask me what I believe, I will say, "I believe that no UFO's are Aliens."
If you ask me to take a scientific stance, I will say, "There is no evidence currently that any UFO's have been aliens."