There may be several causes of the alien abduction experience. Many of these experiences are only recovered years later, during psychological treatment for other issues. Research has proven that false memories can be created in the course of therapy by careless psychologists. People can actually come to believe they were abducted or abused when they were not. Other researchers have shown that a common psychological process called sleep paralysis may be misinterpreted as an alien abduction.

Further reading:

Susan Blackmore, Abduction by Aliens or Sleep Paralysis? Available at: http://www.csicop.org/si/9805/abduction.html.