Red (not moving) UFO triangle

Hiii the guys in the general discussion advised me I should post my incident down here:

Red ufo triangle (attached image)

Hii I'm totally new to this game (never played x-com too).

I'm playing several days and I have a question regarding to a small red triangle ufo.

When my radar detected the ufo at the first time I sent 2 interceptors, the ufo flying toward me and i'm toward him..(trying to intercept it).

When I was very close to the ufo my interceptors stopped moving, I never had the pup-up window that saying tail target or engage.

When I clicked the ufo it was not moving but still red. (it had a zero speed meter)

So I did some 'research'.

1. I sent my dropship to it and it was shot down (I'm paying iron man mode) - so I ctrl+alt+del

2. I RTB my dropship and my interceptors and after my interceptors arrived to my base (just before the dropship) the fighter ufo started following me to my base (I sent my interceptors again and I had the pop up msg).

3. I RTB my dropship and stayed with my interceptors around it and it vanished into space

Is it normal? - Am I missing something?

I attached some images that might be helpful

Thanks

Hmmm. Does this happen repeatedly, or did it just happen the once?

Hmmm. Does this happen repeatedly, or did it just happen the once?

Speaking to the truth. I'm so new to the game that I reached a fighter UFO only once .