Because light travels at a finite speed - and so therefore anything further away is further and further back in time. The Moon is only a second away. The planets, minutes away. The Stars, years away back in time.

If we do have visitors from space obviously they'll know much more about the universe than we do, so we'll ask them what it's like out there.
But I think the most important question we could ask them is "Do you believe in God?".