Because there's no proof that they exist - and proof is the key word. Apply the scientific method to the question of aliens, and there's no way to test, measure, and get consistent, reproducible results from claims that aliens exist. Randi is also an avid supporter of the Search for Extraterrestrial Intelligence At Home project, which uses a screen-saver program to analyze data collected by radio observatories looking for signals that have an unexplained origin. His support of SETI isn't at odds with his statement about aliens. Any discovery is interesting.
Any discovery is evidence of something or another.
SETI has an enormous amount of material that needs to be correlated and analyzed. It's significant work. We're seeing something out of SETI - even if we get nothing, that's still a result. If it's nothing, it means we still need more testing. To play the devil's advocate, ask Randi if such diversions as astrology, palm reading, and Tarot cards are harmless.