The UFO at Mount Chiliad, is a proven myth in GTA V. The UFO is not dangerous and just hovers above the Mountain.
What is believed to be a hologram of a UFO appears at the top of Mount Chiliad at 3:00 AM on a stormy night when you have completed the game 100%. It is believed to be a hologram as it does not react to bullets or explosions and disappears if you get too close or too far. There is also a distortion effect around the UFO, and raindrops around it will turn pixelated and will switch colors. However, it is unknown from where this hologram is projected. The glyphs on the western side of Mt Chiliad state the conditions for this to appear and further clues including a UFO shaped glyph under the viewing platform at the top and a sign on the far side of the platform stating "Return when your story is complete" in red spray paint also show conditions to make this UFO spawn, It is most likely that this is a government made stealth aircraft for testing or MIB style UFO as it has FIB (the in game FBI) written on it.