What strikes me as true, even tho I read it in an old comic book, is the fear of unexpected "life", such as ghosts, or reaching to scratch an itch only to find a leech attached. Both of which, I'm sure, are evolutionary survival responses, as outlined by others. Living on the savannah, things that go bump in the night will eat you.
Like PP, I've no problem traipsing through the woods at night fearing anything, but obviously wary of wild predators. Ghosts or demons? Nope, they don't exist.
Haunted houses? Bring it. I've seen no evidence of such things.
That said, yes, I can and have creeped myself out, most usually when climbing stairs from a dark basement, for some unknown reason. Something's sneaking up behind me! Obviously psychological, but I don't know why.
But, since I'm convinced there is no such thing as a supernatural being, anything I may come across must be of the natural world. And, if it bleeds, I can kill it.