On Wednesday night, several people said on Twitter and Facebook that they saw a bright light in the sky, fuelling speculation that it may have been an unidentified flying object.
The rumour became stronger when photos were posted of Canadian Forces vehicles in the area, with some people claiming the military was there to contain a UFO crash site.
But it was not a UFO at all, says Lt.-Col. Paul Davies, commanding officer 38 Territorial Battalion Group, which is involved in an Arctic Response Company Group training exercise on Lake Winnipeg this week.
"I have the commander of that air force contingent sitting right beside me and, you know, he assures us that that was not a UFO, but that was him."
About 150 military personnel are taking part in Exercise Arctic Bison 2015, which includes the 38 Canadian Brigade Group, the 2nd Battalion of the Princess Patricia's Canadian Light Infantry, the 4th Canadian Ranger Patrol Group, and 440 Squadron of the Royal Canadian Air Force.
Comment: Here's the link to the Canadian Army's page on the exercise.
Davies said soldiers are training to deal with a plane crash and provide ground search and rescue support in the Arctic.
The bright light that people saw, he explained, came from an airplane that takes off very quickly.
"From a distance it may have looked like it was going straight up in the air, but it wasn't," he said. "It was just us out there playing our games."
The exercise wraps up on Sunday.