This is part of the game unfortunately.
That last alien is waiting for your soldiers to let their guard down, and when they least expect it will come up behind them and kill them with their own weapons one, by one, by one. With a butcher knife from the mess hall if necessary. It will start with the janitors, then the researchers will start turning up missing, and then one night the entire soldiers' quarters will get hit with an HE pack.
If you cant find him now, there's no chance youll find him later on either, he'll be in the ductwork at that point.
The more frustrating bug hunt is in TFTD during the cruise ship terror missions. Because there are no civilians on that upper floor in the 2nd stage and there's only 2 ways to get up there (elevator, which will probably explode), and that one set of stairs just before reaching the engine room.
And there are often aliens up there . . . especially oddly enough Triscenes which shouldn't be able to logically fit in those corridors (maybe the civilians saw those and ran, which is why they're all cleared out of that floor of the ship?).
There's all sorts of cool stuff up there, including a Theater!
And sometimes as many as 4 aliens on that floor.
Now running away from a cruise ship terror mission isnt quite as game breaking as giving up on a base invasion, but getting hit with upwards of -700 points for losing a cruise ship is not healthy to xcom one bit.