A man and woman are searching for their 'dead' children who they suspect are not dead at all. Turns out the kids were taken by aliens to experiment on human reactions. People can suddenly be removed from the experiment by being lifted into the sky.
That's The Forgotten with Julianne Moore.
The film's plot revolves around a woman who believes that she lost her son in a plane crash 14 months earlier, only to wake up one morning and be told that she never had a son. All of her memories are intact, but with no physical evidence that contradicts the claims of her husband and her psychiatrist, and she sets out in search for solid evidence of her son's existence.
From the Wikipedia summary:
[Dr. Munce] recommends that [Telly] be sent to a hospital, but she runs away and meets with a man named Ash, who she thinks is the father of a girl named Lauren, who was Sam's friend and died in the same crash. At first he dismisses her, claiming he never had a daughter, and calls the police. After she is taken into custody, he remembers his daughter and rescues Telly. Together they escape and go into hiding, pursued by National Security agents.
Telly and Ash capture and threaten an agent, who reluctantly reveals that he and other agents are merely helping ″them″ in order to protect humankind. Without warning, the roof of the house blows off and the agent, along with the roof, is sucked into the sky—presumably taken by "them"—and Telly and Ash flee. Eventually, Telly visits Dr. Munce again and he reveals that the disappearances are the work of "them", and that the government monitors their trials, all too aware that they have no power to stop "them" from doing whatever they want.