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Let's face it.
It's a big world out there, and it's full of many things that science can't explain; if it wasn't, then science would be out of a job. Science, after all, arose out of the need to explain the unexplained. But let's face this also; the vast majority of events and occurrences that popular press and media claim are scientifically unexplainable, are not... unexplainable, that is.
Matters are confused by researchers and investigators grouping these strange stories into broad catagories --- UFOs, ESP, ghosts, etc. --- in an attempt to understand them. More confusion is caused when the same researchers and investigators make the mistake of putting forward inventive and far-reaching theories to try to explain some particular grouping of these stories that are believed (but not proven) to be related; and often these theorists make the further error of "explaining" the unexplained with the unexplained... asserting that ghosts can be explained as a form of telepathy does nothing to clear up either subject.
The reason it is a mistake in most cases to put forward these theories is the same reason most scientists avoid studying these strange stories, a reason given above... most of the stories being theorized about are not true, a simple fact that brings any theory based on these stories into definite question. Before useful theories can be put forward to explain the unexplained, we must know what occurrences really are unexplained. Some things happened; some things didn't... and investigators need to know which is which.
This may sound a bit simplistic, but no one is seriously attempting to sort these stories out as far as I can tell. Believers take many stories on faith; sensationalists have no good reason to ask if a story making them money is true or not; and skeptics will often bend facts to make everything look perfectly explainable... even if it's not. It's the rare few who will simply examine all the facts around a story objectively with no pre-chosen opinion they want to prove.