Well, that’s a very specific example, but broadly it’s because we’ve evolved with a sense of fear. Fear is often either selected for or at least not against when it comes to evolution (outside extreme cases). From a survival standpoint, it’s better to hear a twig snap and suspect a lion than to assume the wind. You often risk little by assuming danger as compared to assuming safety. Those with a touch of paranoia about them are more likely to live long enough to pass on their genetics than those with no fear.
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