I'm the kind of friend you could grab in the middle of a meal, tell me that you're an alien, and I would go with it. Don't get me wrong, I would entertain questions, a healthy doubt or two – but I would field your statement for consideration and would willingly follow along with the circumstance that just fell into my lap.
The funny thing is that there are those people who approach everything as a possibility, and those who approach the same set of possibilities without regard to the inherent possibility. Doctors will see the problem they expect, or they might run in a new direction searching for a zebra diagnosis to tuck under the belt.
I guess the real balance is whether you chase zebras, or merely let the zebras peek out of the termite holes wherever they like and go from there.