Because
1) There would be no story
2) Horror protagonists are idiots. Seriously, pick any horror/suspense book, film, game, anything, and the protagonist will be incredibly dumb, even outside of this. There are justifications, of course, like Copycat, where the protagonist has agoraphobia and being in open space gives her panic attacks, but most of the time it's something along the lines of "but then who will kill thu ghost durr hurr" because writing is hard.
1) There would be no story
2) Horror protagonists are idiots. Seriously, pick any horror/suspense book, film, game, anything, and the protagonist will be incredibly dumb, even outside of this. There are justifications, of course, like Copycat, where the protagonist has agoraphobia and being in open space gives her panic attacks, but most of the time it's something along the lines of "but then who will kill thu ghost durr hurr" because writing is hard.