After all, it is unidentified. Although I wouldn't quite call it flying, as that implies movement under its own power. More like a UDO (Unidentified Drifting Object).
This is an actual image captured by the Hubble space telescope.
You have to admit though, it looks nothing like an asteroid collision. Looks more like a Klingon Bird of Prey. Well, that's what most people are saying it looks like. The Trekkie in me says it doesn't look quite right to be a Klingon ship at all.
If this interpretation is correct, two small and previously unknown asteroids recently collided, creating a shower of debris that is being swept back into a tail from the collision site by the pressure of sunlight. The filamentary appearance of P/2010 A2 is different from anything seen in Hubble images of normal comets, consistent with the action of a different process.
It's located in the asteroid belt between Mars and Jupiter, and is about 90 million miles away. I'm not saying it's an alien space craft, but if aliens were to hide a probe for observing us, what better place than the asteroid belt? We don't monitor much of the sky. It was just by chance that it was even spotted.
I have some other wild hypothetical speculation if it did turn out to be an alien probe, but I'll save that for a later post. Let's just say that I think NASA is right and it is the result of a natural occurrence.