If you listen to him what he is trying to say is that once you have said it is unidentified anything more you add after that like it is an alien spaceship makes it no longer unidentified. He isn't saying stop looking for answers, but don't call it one thing and then turn around and call it something else. In this case you see a light in the sky moving across your field of vision. You say, "There is a UFO!" and since I don't know what it is it must be an alien spaceship. Now, with that being said is it still "unidentified"? No, you have now classified it as being something and now cannot be unknown. It cannot be unknown and something else, no matter how far-fetched, at the same time. It is either unknown or it is known. He is using the acronym UFO which is "Unidentified Flying Object". No matter what you say it may be it will either fall into 1 of 2 categories, known or unknown. No matter what it can't be both.
Once again, the man is an astrophysicist. Questioning things is part of his job description. No where in any interview or book has he ever stated take things at face value and don't question. He isn't saying in the video that since you have seen a light in the sky don't question what it is, but more like before you call it "A" check to make sure it isn't "B". He used the story of the police officer swearing that he was chasing a UFO when it turned out to be Venus. Do some research check to make sure it isn't something else before you call it an alien spaceship.
I have been an amateur astronomer for years and I have as yet not come across anything that I couldn't identify. I have spent countless hours under the night sky in all seasons and every single time I have seen an inexplicable light in the sky I was able to identify it with relative ease within a few minutes. Usually I can just point a telescope at it and see that is a plane or something. There have been occasions where I have seen a light zip across the sky with unearthly speed, but a quick check through NASA or the internet can usually turn up satellite transits easily. There is a whole community of people who do nothing but track satellites and things like the secret Air Force plane that had been in space.