Here's why:
* The Ghost's Appearance is Unnatural: Ghosts are considered unnatural phenomena in the play's time period. Seeing one is a sign of something deeply wrong.
* The Ghost's Appearance is Connected to the King's Death: The Ghost appears shortly after King Hamlet's death, making it seem like the King is trying to communicate something important.
* The Ghost's Appearance is Connected to Disturbances: The watchmen note other strange occurrences, like the appearance of a comet, which are also seen as bad omens.
The watchmen and Horatio don't know exactly *what* the Ghost is trying to say, but they are certain that the appearance is a grave sign. Their fear and suspicion foreshadow the tragedy that will unfold in the play.