Of course they do. What do they look like? Do they go to school? Do they eat Ham and Eggs for breakfast? Hell, who knows. But there are other life forms... from microscopic bacterium to highly advanced beings, anything is possible. For us to think we are the only living presence in the Universe would be awfully egotistical on our behalf.
Having said this, remember we are aliens also, to other life forms.

Perhaps, they are wondering the exact same thing.

__________________