This happened to me when I was about 8 years old. When I was little I had a blanket that I'd had since I was a baby, that I always slept with. I would spread it atop my other blankets.
One night I'd gone to bed as usual and fallen asleep. I woke up in the middle of the night, I don't know why. Usually, I sleep like a log. The foot of my bed faced my closed bedroom door. As I looked at the back of the door, two spots of light appeared on it, about 5 feet up from the floor. They seemed to be swirling in a circles, a sort of greenish-grey light with sparkly bits in it. Sort of looked like an old-fashioned TV when the cable was out, like the 'snow' you'd get when that happened.
As I watched, these two balls of light popped off the door and became these small creatures, about two feet high. They glowed greenish sort of barrel shaped bodies, no necks and short arms and legs. I don't think their mouths moved but they seemed to be communicating to each other, I could hear some squeaky little sounds coming from them. One of them walked to the end if my bed. I sat there frozen, I was so scared I couldn't move. The creature started to tug on the bedspread, pulling itself up onto the end of the bed. I was clutching one end of my baby blanket - this thing started tugging on the other end. We had a short tug of war, and I felt my arms go rubbery and I let go my grip on the blanket. The creature took it, climbed back down to the floor. Then the two of them popped back up on the door, becoming the circles of swirling light again, this time with my blanket spread out in a square against the door behind them. They swirled around for a few seconds and then everything seemed to suck through the door - just disappeared. I could suddenly move again and dove under my covers, heart pounding, and shaking like a leaf. I stayed like that for a long time, and eventually must have fallen asleep.
The next morning I had forgotten all about it. Had breakfast, went up to get dressed, mum told me to make my bed. That's when I remembered the blanket and the weird thing that, by this time, I figured was a very intense dream. I looked for the baby blanket - couldn't find it. I tore the bed apart, looked between all the other sheets, looked under the bed, my closet, the laundry basket. I asked my mum if she took it to wash - she said no. I asked my brothers if they took it (they both said something helpful like 'no, I didn't take your stupid blanket!)
I started looking around the house, couldn't find it anywhere. I went down to the basement and there it was, hanging in the middle of the room from the ceiling - from the floor joists of the living room above. It wasn't attached with anything, just one edge of it stuck to the side of one of the beams and hanging down like a flag - like they wanted me to find it. I told my dad who didn't believe me. Never told anyone else until just a couple of years ago. I'm nearing 50, and remember it vividly. I swear this actually happened.
You start wondering not only what are they, but why are they messing with your blanket. Were they unable to transport it to wherever they came from so left it on their way? Or did they leave it there on purpose, etc. Brings up more questions than can ever be answered, definately.