“The Asgard would never invent a weapon that propels small weights of iron and carbon alloys, by igniting a powder of potassium nitrate, charcoal and sulfur.”

—Thor, Stargate SG-1, “Small Victories”

To be fair, human beings have been to space as well and routinely get trounced by something as primitive as a mosquito bite.

Maybe the UFOs were built to withstand alpha-gamma-laser-magma-pulse rays, not our primitive projectile based weaponry!

As we've seen with our space probes, its difficult enough to land something on another planet and have it survive, nevermind equipping it with any offensive or defensive capabilities. Maybe these aliens are in the same place. They can get the balloon here, but just barely, and they're watching in dismay as their work get dismantled.

You know when you’re playing with a little kid and they fake punch you, and you dramatically go flying across the room and they laugh, they’re proud of themselves, and you laugh? Yeah the aliens playing that game with us right now.

Maybe they had no idea that was a thing. A super advanced species that either never considered it or was phased out so long ago the knowledge was lost. They’re just up there watching and freaking out a bit.

It seems inevitable that eventually someone in a different dimension would find a way to start crossing dimensions, and start a recon program to report back on "good" dimensions.

Its not a balloon though, and for all we could know they put up a fight and the US is keeping it classified.