Whether it's because of the material within most Mythology, or the Lore and story that's behind them and how they arise up to be known. I don't have a source for this, but it's going to be mostly conjecture on my part. Take for instance two types of Myths, one involving Pallas Athena, and Incubus. Pallas Athena was the daughter of Zeus who was born from his forehead grown up and fully armored after he ate her mother. I don't know why a woman sprang from his head after he ate her mother, or how that reaction occurs, but why would someone make up something so preposterous? Incubus is the second example. In lore it is a male demon that lies upon women while they sleep to impregnate them to conceive a child, or it wishes to simply engage in sexual intercourse. Either way, sleep paralysis and numerous other examples could be used to explain the situation, yet we conceive some unseen creature as the one responsible to account for the occurrence. Is it our state of being aggressive, and just all-around messed up creatures that leads us to conceive such statements as an explanation to the world? Or is there another cause?