I think maybe because people love a good puzzle. I think when there is enough urban folklore and myth about something, people are going to get curious about it. Scientists continue to unearth new oddities about our natural world all the time that we thought were pure science fiction. There's always more to discover. Sometimes legends are just scary bedtime stories, other times they were based on real incidents.
Here's an interesting article about cryptozoology I just found today:
"Cryptozoology is a way that zoology understands and discovers new animals by getting information from local people, from natives, from folklores and traditions to really build up a case to see if there's any physical evidence for those actual animals existing," he explained
http://www.theportlanddailysun.com/cgi/story.pl?storyid=20090626105471000306