This is one of my periodic pieces where I look at why certain ideas are scary. Demons are at the center of the oldest horror stories and they have a special place in the cannon because they are the closest to being seen as real.
Religion is a great big, messy topic I don't want to get into here but there are literally millions of people on Earth who subscribe to a theology that allows for demons. If there is an afterlife with a form of punishment, demons are the ones who dish it out. In some traditions, they are even the source of earthly temptation away from goodness. Even though, to most modern thought, active supernatural demonic presences are not real there are still those who believe in these fallen angels.
One of the scariest aspects of demons is their omniscience. They know everything about you and what you are thinking. They know your darkest secrets and can exploit them. Their other trick is possession and/or shapeshifting. When they can appear to you as anyone and maybe even take over the body of a loved one, how do you ignore that? Which leads to the final scary thing, you can't really fight back on your own. In movies like the Exorcist, you have to have a loving God intercede on your behalf. Demons are just way too powerful.
To make matters worse, some demons can gather human cults dedicated to their master's happiness. These groups of true believers can be just as dangerous as actual demons. Plus, it just feels plausible that there are secret societies out there worshiping dark forces. It isn't like Freddy and Jason have henchmen, but Demons sure can.
So yes, demons, try to steer clear if you believe in them.