Saw greenish blue lights following us from the Pima County Fairgrounds

We had just left the Pima County Fair, traveling south on Houghton Road towards Corona De Tucson, when we saw greenish blue lights following us. At first we thought it was a rescue helicopter or drones monitoring activity from the fair. They seemed to be circling around as if looking for something or someone. But when we saw them and there were several lights traveling, following us, we noticed one sort of looked like a cross. We observed them all while driving south on Houghton and turning west on Sahuarita Road. All of of sudden we saw what we think were jets chasing them and they disappeared straight up and were gone. We saw the jets still flying around, probably searching the area. We were the only ones traveling that late at night on the road. The incident was too fast to take any pictures. Just wondering if anyone else saw the same thing.