I do not follow Thelema, I believe in God and have my own ideology, however in thelema there is a 'demon' or rather a phenomenom called chronazon.
"The name of the Dweller in the Abyss is Choronzon, but he is not really an individual. The Abyss is empty of being; it is filled with all possible forms, each equally inane, each therefore evil in the only true sense of the word—that is, meaningless but malignant, in so far as it craves to become real. These forms swirl senselessly into haphazard heaps like dust devils, and each such chance aggregation asserts itself to be an individual and shrieks, "I am I!" though aware all the time that its elements have no true bond; so that the slightest disturbance dissipates the delusion just as a horseman, meeting a dust devil, brings it in showers of sand to the earth."[1]
As far as aliens go, I am sure there are other physical creatures, however I am certain there are other interdimensional beings. Spirits, aliens, faeries, angels, demons, whatever you may call or classify them under.