You're not scared by not knowing what city the clown was born in, though. Not knowing their intent makes you anxious and afraid.
Same with the Alien. Exactly what planet it came from, where and when is utterly secondary -- if that -- to "it may or may not be in the room with me right now and try to murder me horribly."
We're not scared by the uncertainty of origin, we're scared by the uncertainty of its presence -- whether that's the uncertainty of whether it is present, or the uncertainty of what it will do while present.
Don't get me wrong, I'm fully on board the "I'd rather not have an answer" train -- but knowing the origin of the Alien doesn't make it more or less scary. What it does in a given circumstance, however, does.