One reason could be a vivid imagination. People with very active imaginations might find it hard to separate the fictional horror in the story from reality, and this scares them.
Genetics might also be a factor. Some people are genetically predisposed to be more fearful or anxious. If there is a family history of anxiety disorders or strong phobias, it could contribute to the fear of reading horror stories. Additionally, a lack of exposure to the genre from a young age can make it seem more alien and frightening when encountered later in life.