This was in an Alfred Hitchcock anthology, I think one of the paperbacks, that I read somewhere in the 1980s (although I suspect the book actually belonged to one of my aunts and was from the 1960s or earlier). I want to say that it was the first story in the anthology, directly following a foreword by Hitchcock where he relates a tale of a couple in an airport trying to use him to smuggle something (I remember this in part because I was confused about the change of characters at first). The protagonist is a detective investigating a murder in a rural area (or at least one with a forest nearby) that is purported to be the result of someone being abducted by a flying saucer with flashing lights, and which left a peculiar pattern burned in the skin of the victim. Over the course of the story, the detective comes to find out that the victim was murdered by fellow humans rather than aliens, and the marks were applied by a soldering iron, with the UFO spottings set up to divert attention from the murder.
Except, at the very end of the story, after confronting the malefactors, the detective happens upon an actual flying saucer, very similar to the one purported to have been seen before. I think either the story ended there, or he blacked out from the saucer, only to awake later with a greater mystery on his hands.