Well, a lot depends on the definition of "alien". People have always associated their "gods" or ancestors with various planets and stars or constellations etc. and this is of course, the basic idea behind "ancient alien astronaut" theorist’s (like Däniken) belief that these gods were real and really did come from these places. Since off-times these gods or godlike ancestors were attributed with the construction of pyramids and other megalithic structures, it’s a simple association to the idea that ancient alien astronauts built these structures. But as for “aliens did it” in the scientific (or science fiction) sense specifically, it was Däniken it seems, that first popularized this association in “modern” times.