I think the main thing of a horror story is what they're aiming to make the reader feel. Horror, fear, anxiety, despair, disgust, for example.
I've seen stories that were rightly classified as horror that had no monsters, no blood, but they invoked in the reader a kind of existential dread. I can't remember the name of it, but I read a story once that was about a man going about his daily routine. That was it. He got up, watered his plants, went to work, came home, and went to bed to do it all over again the next day. Simple, boring, you might think. But the way it was written just filled the reader with constant anxiety and despair, like the MC was constantly living on the edge of taking his own life, but it would never give him that last push. I'll have to find it to recommend it, it's hard to describe.
