Probably because human beings have a fear response for a reason - our brains' basic layout was formed back when we didn't have things like guns and fences to keep wild animals out of our caves. Wild animals that would easily overpower a defenseless human being. Being afraid of the dark and the woods makes logical sense - there are things that see in the dark far better than you do, and can hide far better in the woods than you can. And there are still things out there that can kill a human being in the less populated parts of the world. The fear of "something you can't see that is coming to get you" is as old as the animal kingdom itself.
When you're a human being living in a modern setting where you don't routinely have to look over your shoulder in case a lion's creeping up on you, the redundant fear-related part of the brain still seems to get a kick out of experiencing fear in the form of horror movies, stories or games. It's still in there and there for a good reason, but it's chronically underused for some of us. I think that's why people who don't experience traumatic or scary events daily kind of enjoy a horror movie sometimes. And also why people who have experienced traumatic horrifying events often don't need or or want to.
Personally I do not find horror as a genre frightening. My default response to it is usually laughter when something "scary" is supposed to happen, but there are some movies that do get a response from me and those are movies like The Wicker Man, or Wolf Creek or Breakdown. The reason I find them disturbing? Because those things are set in the real world and could very well happen to you if you find yourself in the wrong place at the wrong time among the wrong people. But they are probably classed as thrillers and not horror movies. Horror movies about supernatural or sci-fi stuff doesn't usually get much of a fear response out of me, although I can appreciate the film-making etc.
The last time I remember being scared of a horror film was was watching John Carpenter's The Thing when I was 6 (don't ask me what my parents were doing letting a kid watch that at that age, smh).
As for what makes people interested in gore and death, I suppose it's just typical human curiosity to wonder about death and to feel revolted by gore because most people don't experience that stuff everyday. Death is taboo in general and we don't get to see dead bodies very often because they are quickly covered and taken away by the authorities. So naturally some people develop a fascination with the unusual or the taboo. I don't really find myself interested in either. I do have a few horror movies on my shelf, but I think I have them there because I enjoy the characters, enjoy the atmosphere created by the film-makers, or some other reason. I guess technically once you have seen a horror movie to the end you can never view it with the same sense of fear and anticipation as the first time, anyway.
