Sirius is the name of a star located in the constellation Canis Major. Dog Star is another term used to refer to the star Sirius. Sirius sounds like "serious", and "serious" means sincere. "You can't be serious" means "you can't be sincere about what you are saying". This joke is playing on the word Sirius and its homophone serious.  
The little green men told me it was the Dog Star . I told them they can ' t be Sirius .