There are no ghosts, but there are things besides ghosts to be afraid of. Haunted houses are approximately equivalent to abandoned houses, and abandoned houses may contain human criminals, wild animals, infestations, and other unknown dangers. Ghosts are a psychological stand-in for risks that you aren't individually aware of.

I recall a study (unfortunately I don't have a citation handy) which looked into the environmental factors which produce unease and make people believe that areas are haunted. The main ones were low light, cold drafts, and unidentifiable sounds - all things which, at least in the ancestral environment, could indicate a place that is dangerous.