I've often wondered if these are the source for legends about things like Elementals or possibly Djinn. The idea that these types of entities might be described as mist, smoke or a heat mirage to anyone who might have seen one in centuries past before we had the Predator movie for refrence.
The one I saw was much more subtle in appearance than the Predator movie. Here is a recap video of a Star Trek episode that shows something a lot closer to how the one that came to me looked, just go to about the 5:14 time stamp.