I reckon it's because thousands of years ago, humans who instinctively made up monsters to be afraid of were more cautious, so they survived more often when there really was a monster (or a tiger, or a snake, or something), and so they lived longer and reproduced more

Same with why your first instinct when you hear a rustling in the bushes is something dangerous. Better to be prepared to run from a pack of wolves and be delighted to see a lil opossum than it is to be prepared to see a opossum and get got by a pack of wolves