There are a lot of theories that extraterrestrial life forms have already tried to contact us. Some people believe that we even have knowledge of such encounters but governments have tried to cover it up out of fear of causing massive panic. Area 51 in New Mexico has been the target of such speculation.
It is difficult to know if aliens have tried to contact us because we do not know what we are looking for. It could be sound, light, or some other movement that we cannot detect. Scientists try to detect abnormal radio frequencies to pick up on any signals, intentional or not, put out by other life forms.