Three reasons. One is that the kind of horror I watch is usually weird horror and basically how I see the world. Not talking about identifying with characters or anything plot wise so it's not that, talking about the feeling. I have panic disorder and while I haven't had panic attacks, the feeling is still there. Sometimes the only way I can relate because even though I don't think I'm the only one with panic disorder but very few would know my feelings even though I know they're out there.
Another reason is human behavior. Believe it or not, I've been in situations where people in the movies reminds me of others or how they act in the moment. The movie is, of course, a dramatic over representation of people and not entirely accurate but I've seen it accurate enough to the point of being scary. Horror has in a way given me a gut instinct in a weird off putting way.
And finally, sometimes I just find otherworldly creatures and people curious. I'm a sociological person so I'm more curious on what world are they from, what creates them, how do they have powers, what are they. This leaves me disappointed on most horror movies for the reason that most lack depth.
