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In short? Because cosmic horror thrives on the eternal concept that there is a power greater than ourselves. It takes the idea of a higher perception of reality, of cosmic law, and manifests it in a being that is more grand in intelligence, and/or physical scale, than we can perceive and thus understand. We fear the unknown because we cannot control it.
In the same way a dog understands a human is alive, breathes, and acts according to its interests, but cannot begin to understand the grander motivations or principals behind those actions, so does humanity perceive a cosmic horror. At least we would like to think so.
But, what if we're not a dog to a cosmic horror, boys and girls? What if we're just the fleas behind the dog's ears? Tolerated for as long as we remain a "surface nuisance"? That is one variation of the cosmic horror, a primeval organism called a "god" simply because it is a being beyond comprehension or, for practical purposes, beyond reason or control; in the same way a dog can't and therefore doesn't negotiate with its fleas. It only recognizes them as an irrational irritant when irritating to them. The notion of such a creature is as reasonable as it is mortifying, because we know beings physically more powerful than us exist--elephants for instance--but we can control an elephant; but what if the elephant carried our galaxy on its back? Tolerating its growth for the sake of convenient symbiosis, the benefits of which defy humanity's faculties to puzzle out, until one fateful day it decides to roll over and remove us?
Azathoth, the creator god in Lovecraft's mythos, is a mass of articulated chaos churning at the heart of eternity. It is as vast as creation and the only thing keeping it from destroying this current permutation of existence, out of animal caprice, is a retinue of Elder Gods tirelessly beating drums and winding flutes to keep it perpetually asleep. How do you control that, something that incredible? Something so critical to our survival, yet so incapable of compassion where that survival is concerned? And who's to say something like that doesn't exist?
The truth is...we don't know!
There is no evidence to suggest that a primordial creature cannot be of any size, any degree of physical power, and certainly no evidence to suggest they couldn't achieve that evolution while being incapable of human reason. Worse still, there's also no proof that human reason is the only school of sentient thought at all. This concept--that a creature could have an evolution completely radical to our own--and could therefore be diametrically opposed to our values or interests--is classic fodder for sci-fi and fantasy.
Morality is objective, yes, but, just as humans are subjective, what's to say a primordial being--with powers and interests absolutely alien and antithetical to our's--wouldn't be just as subjective? Just as capable of psychopathy as we understand it? The answer is there is no guarantee of a primordial being's reason or compassion, no matter how old or large or intelligent they are; and that's why the prospect of one, as an objective probability--as likely to exist as a dog exists in a world teeming with fleas--is so horrifying. We can't comprehend or control something like that; and, in cosmic fiction, that's why you can't beg, bribe, or bargain with an Old One. All you can do is fall to your knees and pray that, to such beings, you remain unnoticed...