It's really strange how we're hardwired to believe. Just as an example, I dare anyone to play the Midnight Man game. It's so easy to show how easily we subscribe to the idea of immaterial ideas and concepts, as even the most gnostic atheists will be creeped out by some of these creepy-pastas. The one in the OP was absolutely stupid, though.
But try that Midnight Man game. And don't try it to prove that you can do it. Try it to see if you aren't completely shaken by the time you're doing the 21st knock. You can stop right there if you want to. Why the fuck does it matter? It's complete bullshit anyway. But it's a thing that will freak most people out. Just so hardwired are we, that even if we don't even believe in such a benevolent and heavily argued thing as any of the major religion's god, but have no problem with being completely freaked out by an absolutely made up entity called "the midnight man", an obviously fictitious entity.