They might think they did, and if they were truly, incomprehensibly more advanced than us, on a totally different plane of mentality, I think they might even be right. This is how many religious people feel about God, after all: it is OK that he causes or allows all sorts of things that cause humans horrible suffering (earthquakes, extermination camps, whatever) because in some way that is far beyond our understanding these things are all for the good. (Please note, I am not endorsing that argument about God. I doubt whether this sort of qualitatively superior intelligence, in gods or in aliens, is really possible. But I do not know that it is not possible, so I am willing to consider it hypothetically.)
Human being are qualitatively more cognitively advanced than animals, and it is not particularly because we have bigger brains (some animals have bigger brains than us) or are quantitatively more “intelligent” (whatever that means). It is because we have language, a highly flexible representational system that allows us to quite easily represent and think about things (such as complex hypotheticals, implications, and abstractions like principles and rules) that animals show no signs of being able to conceive. I do not think animals can conceive of what language is, or what it does for us (they would need to have language in order to do so), and likewise, if there were aliens with something that in the same sort of way made them qualitatively more cognitively advanced than us, we would not be able to understand it at all, and we can’t imagine anything that could possibly be like that.
But if you are just talking about aliens that are just quantitatively smarter than us, that have a very much higher IQ so that, for instance, they could solve math problems in seconds that would take the best humans many hours, or could consider every possible sequence of moves in a chess game for many moves ahead (like chess computers do), that would be different. There would still be the possibility (and probably actuality) of communication back and forth between them and us, and we ought to be able in principle to understand their concepts, including their ethical concepts, even though it might take us a lot more time and work to understand than it would for them. With aliens like that there could still be moral reciprocity, the sort of trading of rules and “treaties” that Chessic Sense talks about, but that we cannot have with animals, because they simply cannot understand such things.
Of course, merely quantitatively more intelligent aliens (or even somewhat stupider ones, who just happened to be more technologically advanced than we are) might still kill or enslave us, as European colonists killed and enslaved native human populations in the past, but they would almost certainly be able to recognize that that was wrong by their own moral code, as indeed, many descendants of Europeans today recognize that what their ancestors did to non-Europeans was wrong.
I am fairly sure that, even at the time, European colonists, and other historical conquerors, generally recognized that there was something morally problematic about what they were doing, even if they felt it was ultimately justified by what they saw as some greater good. The “white man’s burden” was largely a burden of guilt, but guilt taken on, so they thought, to ultimately make the world a better place: more Christian, more rational, wealthier, or whatever. They may just have been rationalizing their greed, but the very fact that they felt the need to rationalize implies that the guilt was really felt.