Because grownups can't see him. Only little kids can see him.

8 seconds sound clip from the E.T. the Extra-Terrestrial movie soundboard.

You can hear this line at 00:35:22 in the Blu-ray version of the movie.

Quote context

[...]

- We're not going to hurt you.

- Is he a boy or a girl?

- He's a boy.

- Was he wearing any clothes?

- No. But, look, you can't tell. Not even Mom.

- Why not?

- Because grownups can't see him. Only little kids can see him.

- Give me a break.

- Well, do you know what's going to happen if you do tell?

- Do it, Mike. We have to.

- No, please! No! I'll do anything, please!

[...]