You can be forgiven a lot in horror writing. Cliches are not only embraced, but expected. Unlikely scenarios will be believed, if they are written well enough. Stupidity on the part of protagonists is overlooked.
But you will never get away with a paper thin, undeveloped threat.
The whole point of horror is to make you care about a person or people, then place them into unspeakable danger.
The worst that could happen does happen, with terrifying abandon.
A moment can be totally lost, if the reader loses faith in the terrible thing. I always recall, at this point, a scene in the movie Jaws. The tension was all there. The horror was real and present. The shark that jumped out of the ocean was blatantly rubber. Not even very well crafted rubber at that.
Let's just say that it all turned very swiftly into comedy in our house.
Fortunately, we don't have to worry about bad special effects in literature, because most of that is in our reader's mind. However, that doesn't give you license to leave your baddie or bad situation undefined.
Horror works because whatever is out there, however unlikely, might actually be true. Take Mary Shelley's Frankenstein. At the time of her writing, people really were digging up corpses. The medical associations needed them to teach their surgeons.
Also hot off the press was the experimentations of Luigi Aloisio Galvani, who was sticking sparks into the muscles of dead frogs. The result seemed to animate them for a moment. We call it 'galvanization' after him today.
So while the actual story of Dr Frankenstein was fictitious, all of the elements were in place in reality. That's what made it perfect horror material. But that wasn't all that Mary Shelley did. We were invited into the mind of both the doctor and the creature. We saw how they thought and what they did. There was back-story; and hopes and dreams for the future.
It's not always possible to gain all of this with your monsters or other danger points. No-one is going to stop a zombie to ask about their inner feelings and motivation. (The answer in all cases is 'braaaaiiiinnnnssss'.) But the more rich in detail your story's antagonist, the more readily your reader will accept the threat.
Then they can get on with emotionally reacting to it.