The spherical object was filmed by the South Wales police helicopter while officers were flying 1,000ft over the Bristol Channel.
Confused police said the mystery craft was flying against the wind and was undetected by air traffic control at around 9.30pm on Saturday.
The object – which could not be seen with the normal eye – was captured by thermal cameras. None of the crew could come up with an explanation of what it was and the team tweeted it with an alien emoji and the question: “Any suggestion??”
Some people have suggested it could be a balloon or a Chinese lantern, but police have ruled out both ideas because of the heat and movement.
The force added: “It’s difficult to judge the size but we filmed it for just over seven minutes.”