See, this is weird to me. It makes sense, in some ways, and totally doesn't in others. I've had more than my fair share of "close calls". I literally almost had my face melted off once. I've had a loaded shotgun pointed in my face. I know what real danger is.
Which is exactly why "unreal" danger is so scary. With "real" danger there are rules. There are ways of avoiding it, there are ways of mitigating it. With supernatural stuff there's nothing you can do. You are completely helpless and at the whims of a being whose motivations are so alien you can't even begin to fathom them.
Cenobites chasing you? What are you going to do. Go to the cops? Call the FBI? Get the Vatican to try and protect you? There's nothing you can do. There is only the flesh.