Those who have never experienced it probably don't believe in it.
The mind is a powerful tool and can make you think and see things that aren't really there. Lack of sleep, mental instabilities, and even post-hypnotic suggestions are just a few of the things that can trigger us "seeing" something. I don't believe in ghosts. Never have and never will. I do, however, believe we are not alone in this universe. We would all have to be conceited to think we are the only ones.