The "Milky Way" is the name we call OUR Galaxy ... the one we're in. There are several billion OTHER galaxies besides the one we're in.
There are SO MANY stars in the Milky Way, and SO MANY other galaxies, and SO MANY stars in every other Galaxy, and SO MANY planets around SO MANY stars, that most scientists believe that it's a sure bet that there's life in other places, or that there used to be, and it's a sure bet that aliens exist in other places, or that they used to.
But we've never seen ANY evidence of ANY life in ANY other place except Earth.
Yet.