story identification - Collection of short stories about furry desert aliens who could switch their gender

I remember one of the episodes of X-Files - "Gender Bender" is about aliens who changes their gender. While investigating series of murders, Mulder and Scully discovers that the religious sect may be responsible for it. Later, it was discovered that actually they were not religious sect, rather most probably aliens, who lived on Earth, USA for many years, changing their gender "in every generation". At the end of episode when federals wants to arrest them they were all gone, only thing was left behind was big circle on the ground (flying saucer?).
It has very nonsensical ending.

"The Truth is Out There"