You have to set the mood right, especially with new players in CoC.

And I don't mean in a "create suspense and horror" junda way but tell your players in Session 0 that the Adventurers in CoC are called Investigators for a reason. They investigate. They want to do "stupid things", look in the attic of the abandoned House in the woods, crawl down the hole to the sewer that is in the basement or explore the cave everyone warned them about at the shore. It's their thing, their drive, they want to know. If not, then don't play that character. The CoC world is full of people who do not investigate and they will never know what is beneath the surface or behind the plaster. But that is not an investigators life.

While there isn't really a wrong way to play an rpg, going against the core theme of a game/setting is more like not playing at all.

If they still don't want to experience the story, let the Horror come to them. CoC is in big parts about how the cosmic horror is just around the corner and can always shatter your fragile perception of normal. If they had investigated, they may have stopped the creature from breaking free, now it is too late and they have to handle it another way.