UFO is sort for unidentified flying objects. Which jokingly means that if I take a tea cup and throw it on the air and your eye catches while it flings rapidly, it is a UFO. A UFO doesn't necessary contain extraterrestrials. It can be something trivial, it could be also something spectacular like a secret aircraft, a strange natural weather phenomenon or a spherical lightning. If it flies and you can't identify it then it's called a UFO.
Many people say that UFOs doesn't exist but it is like saying that everything we can see on the skies is already identified and there is no such a thing as unknown. Of course what they mean by UFOs is alien spacecrafts. Many people confuse the notion of UFOs with something controlled by an intelligent entity from outer space. It could be anything..
Many people say that they believe in UFOs. Which is again the wrong notion. What they mean is that they believe that alien spacecrafts are flying in our skies. UFOs do exist, which means that something that someone have seen in the sky morningly and cannot logically explain does exist. But it can be anything. It's not provable whether it's aliens, secret aircrafts or anything really really out of the ordinary. But in some cases it's proven that many of them are hoaxes. However there are few strange cases out there that are worth to research I believe. UFOs is a huge world on it's own.