Because human brain thinks first is protection for everything.it creates some kind of negative vibration when you see scary things like what will happen if it is exist and so your intuition protects you by sending scary feeling.
Dude you gotta tell me what you have been watching? I haven't seen a "scary" movie in the past two decades that didn't have a cgi monster or a retard that doesn't know how to escape a room or is just some excuse to have blood squirt everywhere and a lot of teenaged **** or a really bad terrible plot line that takes you so far out of the film you start wondering why you were dumb enough to watch this movie in the 1st place! Alfred Hitchcock knew how to make things scary because he used the audiences OWN imagination against them and nothing is scarier then the unknown! The more terrified you are shows the more f#cked in the head you are
It's because of our mind. Whenever something popped up, our brain assume it's a treat, and so we are scared and escape from it. This is common to all species.
People are interesting creatures. We like to keep ourselves safe, but we like to feel that pure rush of fear and danger. It's the same reason why we ride on roller coasters or jump out of airplanes with parachutes. We like to feel like we're looking death in the eye and making him blink first.