I look at it like this:
What I find to be the most "magical" or "important" part of being a furry is the creativity in comparing human behavior to animal-like characteristics. You must realize that the relationship between people and the anthropomorphic or "animal like" mannerisms and characteristics exists on a metaphoric and spiritual level.
For example, in the imaginary world of furries there is no role play (in terms of role-playing as an anthropomorphic being) that compares with humans being personified as furries (fursona, etc). The only thing similar would be to role play as a different race.
If anthropomorphic races really existed, there would be no such thing as the furry fandom as we know it, and the creativity behind personifying one's personality with an anthropomorphic character would not exist. Therefore wishing for furries to "really exist" is a paradoxical thought, as you might not think about furries the same way as you do now if they actually existed.
Buuuuuut if an anthropomorphic alien race decided to suddenly show up, I don't know what to tell you.