Asking "why" is always the most difficult question, as it deals in motives, which can be inscrutable in humans, let alone aliens. I prefer to focus on "how". Even so, I will do my best to briefly answer your questions. The long version would require you to do a lot of reading, or me to make a giant post with lots of citations.
Over and over again, for years now, I have explained that the phenomenon operates on the physics of electromagnetism - the production and control of electric fields and magnetic fields to take shape, size, color and motion and other significant properties. The phenomenon has the ability to interact with human consciousness on an individual or mass level. Some of our own mad scientists can place an electrode-studded helmet over your head, twiddle some dials, and control your consciousness in a rudimentary fashion.
The apparent purpose or agenda of the phenomenon at a functional level can best be described as influencing our belief systems. It changes its outer shape to best adapt to human expectations and its own requirements. As the Qu'ran describes with the Djinn, it is a shapeshifter, able to appear as a vehicle (round, square, whatever), an animal (e.g., Bigfoot), or a semi-human (MIB, grey alien, Nordic alien, etc.).
The phenomenon has various levels of performance or capability. The most basic can be found in localized environments such as Hessdalen, Norway or Toppenish Ridge, Washington State, and can be studied there. In the basic form, the phenomenon is a ball of light, often orange. I have communicated with an individual government scientist who has photographed and studied the Toppenish Ridge phenomenon at extremely close range. His studies show a ball of orange light encapsulating numerous other glowing lights of various hues.
Edit: A final note on "why". I do not think the phenomenon is particularly intelligent, but rather wily and tricky, like a feral animal, and relies on the knowledge and experience of the human percipient to reflect intelligence back to the observer in a distorted way. I think the phenomenon is natural and has evolved right along with Earth for billions of years. So it is not alien in that sense. At the end of the day, it is nothing more than highly organized dust, ions and electrons.