If you can completely separate truth and fiction, then whatever happens in a fictional piece of work should not bleed over into reality. When I watch a horror film, it's exceptionally rare that I would be put off because it reminds me of reality. They're escapism. While some of us won't admit it, we all have a dark side that needs fulfillment. Horror films can do that.
There are lots of other reasons. I just classify them as entertainment and compartmentalize. It's very different from seeming somebody get hacked to death in real life. That's not an experience I ever want. The question almost implies horror fans would enjoy such a thing, but I think horror fans would be universal in their disdain for such a thing.