Why do people fear ghosts but not believe in fairies?
There are some arguments for the origins of religion based on the byproducts of our adaptive cognitive mechanisms and biases. A prominent one is the hyperactive agency detection device (HADD)--we are quick to infer the presence of intentional agency upon hearing a sudden unexplained noise or unnatural movement, especially in low perceptual quality situations (e.g. the dark). The cultural description of ghosts and other feared supernatural entities align with the situations in which HADD is likely to be triggered, but not so much fairies.