It isn't the "unknown" that people fear when it comes to shit like UFOs and the supernatural. How can you be afraid of what you don't know? That's a fear of "uncertainty." The thing about fearing the so-called unknown is that people fill in the unknown part with something familiar - like a ghost or an alien - and then start to figure they need to be worried!
You can't be afraid of the unknown, because you know nothing about it. What you're afraid of is what you THINK you know.