Because he's a really good blend of several scary tropes.
He looks human, but not quite human, so there's your Uncanny Valley. He doesn't have a face, but he wears a human business suit. His shape is definitely human-like, but his proportions are all fucked up. He walks sometimes, but something isn't quite right with the way he moves. His favorite pose is standing still in an uncomfortable position, and this scares you. Also, in some early stories he lets out small quiet chuckles for no reason, AND HOLY SHIT IS THAT SCARY.
He is also the ultimate example of urban folklore: there's no definite canon, so you never know what's outright bullshit and what's God's honest truth. Even more importantly, you have no idea what he wants. He seldom kills people, he never speaks, he never... does much of anything, in fact. It's almost like he's only fucking with you if he decides to haunt you -- but then again, what could he possibly gain from scaring the shit out of you every other day? In short, he's completely unpredictable, he has blue and orange morality, we know absolutely nothing about him. Same reason the Joker in The Dark Knight was scary.
Lastly, people prefer to think of their houses as their fortresses. There's a reason little children duck under their blankets when scared: it offers no protection, but it's theirs. But Slender Man doesn't give a rat's ass about your strong locks and barred windows -- he can teleport sraight to your bedroom whenever he damn pleases. He can stand in a dark corner of it all day and you'll have no idea. In fact, he might be standing just outside of your field of vision right now.
EDIT: Forgot a major part. The consensus among some is that Slender Man is basically a meme come to life: our thinking about him gives him strength and justifies his existence in our realm. And he also targets the ones who dig too deep into him; you find out about him, you think "oh, this is a cool urban legend, I'll read some blogs and watch some youtube channels" -- and after a while you realize that you probably know more about him than any of the protagonists of those stories, so you can easily become the next target.