Joe Nickell, a columnist for Skeptical Inquirer magazine, noted that “Since 1994 alleged implants have been surgically recovered but they’ve become remarkably diverse: one looks like a shard of glass, another a triangular piece of metal, still another a carbon fiber, and so on. None was located in the brain or nasal cavity, instead being recovered from such extremities as toe, hand, shin, external ear, etc.; some were accompanied by scars while others were not. As physicians know, a foreign object can enter the body unnoticed, as during a fall, or while running barefoot in sand or grass—even as a splinter from a larger impacting object.” People find all sorts of weird things in their bodies, but so far none are of alien origin.

Further reading:

Joe Nickell. "Alien Implants: The New ‘Hard Evidence." Skeptical Inquirer, September / October 1998.