Ghost (Majora's Mask)

"They", according to Romani, refers to the rather strange ghost-like figures that come to invade the barn of Romani Ranch to abduct their rare, precious Romani-bred cows, which they inherited from their father. They resemble ghostly, glowing aliens. According to Romani, they come at night every year when the carnival approaches. It seems aliens have an interest in rare cows with the ability to produce a fine milk and it's up to you to save the ranch from a possible invasion. If you fail to save the cows on the first night they will abduct Romani, leaving Cremia, Romani's sister, saddened. On the third day, the aliens will return Romani with all her memories of their existence removed, with obvious side effects on her personality. They are quite similar in appearance to Poes.

Speculation has led many to suspect the Gorman Brothers are somehow involved in all this which is pretty believable considering the trouble they are causing lately. However, as they are capable of wiping Romani's memories (something the Gorman Brothers don't seem to be capable of), it is also likely their interest in the cows is a complete coincidence.