Lack of explanations.

here is my theory, some guy was walking into his cave and saw someone who died 5 years earlier and he ran out screaming holy sh!t there’s a dead dude in my cave

the end

I guess no one likes to think that they are going to be dead forever, or that someone they love is and that they will never see them again, so I suppose they started making up stories about it to make themselves feel better.
Plus people experience grief hallucination now, and there’s no reason to think that would be a new thing.

http://www.scientificamerican.com/article.cfm?id=ghost-stories-visits-from-the-deceased

There’s probably no one reason for it. Being aware of our own mortality is a large factor. We can figure shamanism in early tribes of humans had a lot to do with it. Shamans even to this day use our fears and superstitions to control and manipulate populations.

The aspect of ghosts and spirits is nothing new, each and every civilization has had beliefs in an existence beyond this one and as well had beliefs that the ghosts and spirits of past individuals can walk the earth. There are drawings on the walls of caves that depict ghostly apparitions and not only just human but the spirits of animals as well. It kind of makes you wonder, did they create this concept out of necessity or did they depict and record what they experienced ? Either way , it has been a central part of many cultural beliefs since the dawn of man.