If we're able to create ghosts via some magical process following death, I'd expect things like cats, snakes, chickens, and so forth to also create ghosts as well. That'd suck for a critter that was dismembered or pureed for food. How would that haunting work out? Would they come back as a bunch of Ghostles'n'Bits or something?
Also, why aren't ghosts naked? Do the clothes and jewelry you die with also get stuck in some mystical afterlife for inanimate objects?
Our brains are capable of doing some pretty screwed up stuff, thanks to a good imagination, and some ancient fears, likely left there from a time when our species, or its predecessors, had to constantly be alert for some large creature that would love nothing more than to enjoy a delicious non-arboreal primate. If your brain is constantly hinting at you that there might be something "out there" that's trying to kill you, you're probably going to be more alert for possible predators, and thus more likely to survive.