Well, in principle the least invasive way to enter the human body is through a naturally-occurring orifice. It's possible that they use anal probes to introduce drugs, nanomachines, or other substances and technology into the human body without having to injure the human. Kind of like using a suppository.
It's also possible that they use this type of probing technology to obtain quick, accurate measurements of things like body temperature and pulse rate. It's also possible that they can obtain a reasonable measurement of the subject's overall health by examining the health of their digestive tract and the quality of their excrement.
They may also be using instruments to examine the human's dietary habits through the use of excrement samples.
It may also be that human excrement is considered an alien delicacy, and clearly the most efficient way to extract this delicious commodity is the direct approach.
It's also entirely possible that aliens have never visited Earth, but pathological liars concocting false tales of abduction use anal-probing to spice up their stories by combining fears of rape, dubious experimentation on humans, and homosexuality into a horrifying cocktail that makes these false accounts more impressive to potential listeners.
