I'm not sure it's that straightforward - I think that the belief in the supernatural is also an existential fear defense.
"If there's 'something else' then I don't have to fear death" kind of thing, or more prosaically
"I've not achieved that much, but at least I was serving a higher purpose."
I also find it interesting that people believe in the supernatural but don't think it through. If someone (for the sake or argument) believes in ghosts, then the level of evidence used to justify this is about as good as say vampires, werewolves, soul rending demonic forces, bigfoot and so on. (How on earth do you sleep then? ), the 'proving too much' trap.
While I've no doubt there are people who do not acknowledge the possibility of the supernatural, and a proportion of them are denying the possibility out of 'fear of the unknown' (out loud) there may well be a quite a few that quietly just...don't. Especially in the context of the really quite awful things some quiet people do to get what they want.
Possibly a bit rude for folks to say "There are no ghosts so if you've seen one you're mad." though.
...except that it's literally the case that what you 'see' or specifically, perceive may not be what was there, especially as there's much replicable work supporting the notion that 'what people think they saw is heavily influenced by what they expected to see and what they wanted to see'.
There are certainly times when the good odds are, that what someone thought they saw (especially if recalled a few times first) was not what was there (this is the 'Jonathan Creek method' - start with the premise that what was witnessed simply isn't possible... so what else that's
feasible might have occurred?).
Fine judgement call there...
"Am I being shadowed by a supernatural entity, or is it just a very quiet evening and I need to get a grip? (possibly on a handy weapon because there's no point in being an idiot about it...)"
Fear of the unknown - reducing uncertainty, yep, agreed. Although it's interesting that believing in something palpably unknowable can reduce uncertainty