Now, scientists believe they have discovered the reason.
In the first photo, below, taken by Curiosity's hazard-avoidance cameras, there is a clear silhouette of an object visible in the picture's background.
In the second photo, below, taken just 45 minutes later by the same cameras and from the same angle, there is no silhouette at all.
So what is this mysterious object that has conspiracy theorists buzzing? According to NASA, it is a cloud of dust caused when Curiosity's so-called sky crane crash-landed nearby.
When the Curiosity rover landed on Mars, it was too big to be slowed down by a conventional parachute: It weighs more than a ton. Instead, it was lowered down to the Martian surface via an experimental, new sky crane. Consisting of three ropes and a support device, the crane lowered Curiosity to Mars before crashing into the surface about half a mile away.
By happenstance, when Curiosity was testing its hazard-avoidance camera, the rover managed to pick up a grainy, low-resolution image of the dust storm caused by the sky crane crashing.
"We expected it to kick up quite a lot of dust," Steve Sell, a member of Curiosity's entry, descent, and landing team, told the Los Angeles Times. So, of course, it makes sense the impact plume would be visible from Curiosity's landing site.
The chances of catching the sky crane's landing are admittedly pretty astronomical, but NASA has ruled out dirt on the cameras and other such explanations for the object's presence. According to NASA, the image was taken with two cameras and blended into one photo, so a dirt smudge would not have affected the final picture.
"We believe we've caught what is the descent stage impacting on the Martian surface," Sell said. "We're fairly certain that is the impact plume."