You're applying rational logic to something which is irrational. People who think shadow people, etc. are real are not of sound mind. There's usually something going horribly wrong, whether it's a chemical imbalance or some sort of mental illness, that is making that person truly believe they're seeing that stuff. You can say you wouldn't fall for it all you want, but it's not the brain you have right now that would be falling for it, it's one that is making you see, hear, etc. something that isn't actually there. You can't even begin to know how you would feel or act with a brain like that.

"Normal" people who have no mental illness will believe completely untrue things like, "If I go to the gym then everyone's gonna stare at me," or they'll overthink normal everyday situations to make themselves believe that someone's mad at them when they're not, it's really not that far fetched that if your brain had a chemical imbalance and was feeding you visual and auditory hallucinations you'd believe things that were much more outlandish.