That was the Soviet Union during the cold war. They denied their involvement and the US government was the one who chose not to press the investigation to avoid escalation, like now. It was a good test after all to try technology and combat tactics without pushing WW3

In this case however, a closed skies escenario would mean a constant stream of missiles attacks and anti air weapons from NATO territory or any of its bases, weapons that the Russian can track given enough attacks, and that we cannot know that Putin wont seek retaliation, so is better not to test the limits knowing the possible outcome.