I like the alien theory myself...it's just as likely as having a ghost in the attic, and maybe it's friendly like ET or something

My setter mix has very sharp ears...and loves to go after moles in the yard and squirrels, etc. I agree with the small hairy pest theory...put out a mousetrap and find out (Chocolate makes great bait, by the way, as long as you keep the pooch out of it). I have also heard of dogs going after termites in the woodwork, but they usually come in from below...

If you can't find any evidence, I would call in an exterminator for an estimate first, and if you have no pests, hairy, insect, or extraterrestrial, then call in a medium to tell the ghost to stop pestering your dog.