Sure, until we got lethal infections from alien microbes that we have zero immunity to. Didn't you see the War of the Worlds remake?
I have to assume that if their biology is even remotely comparable to our own, bacteria will try to eat them. At which point you need immunity or PPE.
Getting into the sci-fi explanations, either these NHI have some kind of technology that eliminates ALL infections regardless of origin (e.g. advanced nanomachines in their blood) or they're from earth.
Also, turning it the other way - assuming any of these encounters were real - they must have great hygienic practices to ensure that not a single alien bacterium made it on/into their abductees. Otherwise people would have died from extremely mysterious diseases shortly after reporting their encounters.
These NHI can apparently walk around in fully sterile environments with no face masks or anything, and keep it sterile?? Hmmm...