Most horror movies completely ignore this fact, because a big monster with over-the-top special effects is an easier way to put some drama in the movie. There have been a few movies, though, that tell it like it is. One is “The Blair Witch Project,” of course- for most of the movie, the only evidence of a witch is some spooky noises in the background.
Another example is “The Haunting”- not the ridiculous remake they made in the Nineties, but the old black and white version based on Shirley Jackson's superior horror novel “The Haunting of Hill House.” A team of ghost hunters stay in a cursed mansion, and nothing much happens- except that one of them starts to slowly lose her mind. Because that's the curse. Hill House somehow gets inside the head of any visitor with psychological issues and slowly drives that person over the edge, but it's all very subtle, very ambiguous. Even at the end, there's no way to say for sure that the house had anything to do with it.
In my opinion, that's what real hauntings are like, and that's why they don't “prove” all that easily. Horror movies that recognize this can get a lot of mileage out of it.