Oh, it's so cool. They completely vanished and no one knew why. One of those historical mysteries. Turns out that 'Aliens' guy is right. It usually is aliens.
Flew up in a spaceship, didn't they? One they found with an ice warrior in it. That's what Martians are actually called. Ice warriors. And of course, they were British so they wanted to claim it for the Queen only they pissed off the Empress of the Ice Warriors so they nearly started a war.
We're not great at this whole conquering nation thing.