Because most, if not all natural entities that would be passing between us and KIC 8462852 (orbiting debris, interstellar dust cloud, etc.) would be chromatic...they would look red (like the sun through smog). Achromatic (black) dimming implies a dark solid object...and a solid object big enough to eclipse 22% of an F3 star's light is hard to make naturally.
SHARKS (crossed out) MONGEESE (sic) WITH FRICKIN' LASER BEAMS ATTACHED TO THEIR HEADS