Koenma was convinced that Goku was a Demon Child because of his Monkey Tail.

Inside the Yu Yu Hakusho Universe where the Demons and the Humans never encountered Alien Invasions all the time like the Dragon Ball Universe did, Koenma never even considered that Goku might be an Alien Species at all!

"Do you really think that King Yama Kidnapped Goku?" Yusuke asked Koenma.

"I don't know what to think after being asked to babysit the 5 year old child without being told where he came from in the first place." Koenma admits in defeat.

"That does sound very suspicious." Yusuke agreed with Koenma as Genkai returned into the room.

"What exactly did King Yama tell you about all this?" Genkai asked Koenma.

"King Yama said that this whole thing was a test of my judgment after my Spirit Detective Choices caused him problems, I'm Babysitting Goku without any information about him." Koenma explained.

"So basically King Yama just wants to know if his only son is trustworthy by giving Koenma his own Living Mystery to solve... very creative plan." Genkai responds thoughtfully.

"I'm still worried that Goku might have been kidnapped by King Yama to force me into hiding!" Koenma proclaimed suspiciously towards Genkai.

"Koenma, you will still need evidence of wrongdoing before you can legally do anything helpful for Goku!" Genkai protested.

"Genkai, I'm panicking over here." Koenma admits.

"My point is that we need more information about Goku before we can do anything about him." Genkai points out helpfully.