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From the standpoint of scientific rationality, any phenomenon under consideration can be rationally explained and systematized. Another thing is that not every phenomenon (or not all of its parameters) is of interest to the researcher. For example, the parameters that are probably determined in UFOs by a reasonable observer are “unidentified” and “flying”: the phenomenon is systematized, there is still the possibility of further explication of its parameters. But since the question is about natural phenomena, it makes sense to speak in the context of natural sciences.
The formulation of problems in natural sciences takes place on the basis of consistently developed research programs. That is, a concept that came to the natural sciences from outside themselves is not fundamentally considered problematic. UFO can be considered rationally within, say, cultural studies (as an urban legend), philology (as an abbreviation), linguistics or logic (as a language concept), or any other science dealing with the spoken word about a phenomenon (a phenomenon of nature, based on the question).
Natural sciences primarily deal with a phenomenon as reproducible or stably observed (if it is not reproducible). Since no natural science in the course of its development has encountered UFOs as a phenomenon that can be reproduced or surely repeated observation, its research is not of interest to them.
In addition, every modern scientist, consciously or not, follows two basic, seemingly contradictory presumptions in his research:
openness of the object of knowledge to the knower;
the fundamental impossibility of exhaustive knowledge of the object of knowledge.
The first position provides sufficient motivation for the researcher. In the absence of the second position, the sciences would run the risk of falling into a set of dogmas. That is:
among the phenomena considered by science, there are fundamentally no phenomena that cannot be systematized and rationalized;
in nature, there are phenomena that have not yet become the object of scientific consideration, therefore, unsystematic and not explained rationally;
in nature, due to its diversity and spatiotemporal extent, which significantly exceeds the “area” of human habitation, there will always be unsystematic and not rationally explained phenomena;
some natural phenomena, once observed, will not arouse the interest of science and will remain unsystematic and not explained rationally.