In the source comic that Skua pointed to, the second panel is basically that character saying “you know who returns umbrellas? NOBODY!” But E.T. cut him off by bonking him.

The character also put me in mind of those old Family Circus cartoons, when the kids did something evil, the parents would say “who did that?” and the kids would say “Not me!” and “Nobody!” And there’d be invisible ghost-kids with labels like Not Me and Nobody on them running around.