The low atmospheric density rules out that it could be a pebble or dust particle near the Curiosity rover. The wind speeds on Mars are similar to Earth's, however the atmospheric pressure on Mars' surface is less than 1% (0.6%) of the pressure at sea level on Earth, meaning for anything larger than dust to be in motion the wind needs to be at hurricane speeds.
One image split opinion amongst internet users: some believed it was an UFO, others that NASA was secretly exploring and colonizing Mars so other countries wouldn't, and some simply don't believe the rover is on Mars and not on Earth.