You need a 100% completion of this game to unlock this UFO!
In this video I show you some details to find the UFO from above Fort Zancudo.
Here's a little help from IGN to complete the game 100% (Location map for lots of things) :
http://www.ign.com/maps/gta-5/los-santos-blaine-county

Also Check out : http://www.youtube.com/watch?v=Mujt1O_Q93Y