I've never had anything supernatural happen to me. I've even gone to places where people have claimed such things, to no avail. My initial instinct about why I don't experience supernatural things is because I don't believe they exist. That's also saying that I think most people who do believe in such things (even on a subconscious level) will be more likely to interpret an occurrence as supernatural, and their minds may even help them along.
Ultimately, since there is no evidence to prove the existence of ghosts, I don't put any stock into their existence. Anecdotal evidence is not the kind of thing I'm led to put above scientific, testable, documented and repeatable evidence.
As such, even if I were to see a "ghost" myself, I would put more stock in the possibility that I hallucinated than the possibility that what I saw was real. Why? Because hallucinations (and not just the mental kind) are scientifically documented, testable and repeatable. They happen all the time, and there is absolutely no reason why an unproven supernatural phenomenon should have more merit than something that is well-documented and proven.
I say all that to say, if a person is interested in truth, they should employ critical thinking in matters such as these. I would be more than happy to believe in the supernatural as soon as it can be proven. Until then, though, I won't.
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