The only hint I get from the news reports is that the Russian authorities are refusing to comment on what it was. That suggests to me that they probably know what it was. And that's not a conspiracy theory, in case you're wondering. I'm guessing that it was probably something military-related. To confirm, it would be interesting to know what military installations are in the area where the event happened.
Of course, this is speculation based on flimsy evidence. But it's a far more likely explanation than this being some kind of supernatural event, or alien visitation, or fairy magic, or a giant light monster, or something else unknown to science.