The title of this post is one of my favorite metaphors about mystery in art, and how sometimes trying to explain too much is fatal to what you're trying to do.
My favorite example is 2001: a space odyssey, where the final fifth or so of the film is entirely imagery, no dialogue, and where you're permitted to draw your own conclusions about what's going on. It's open-ended without being contemptuous to the audience; it's not the kind of thing where Kubrick was too lazy to give it a definitive meaning, but instead trusted us to let our intelligences engage naturally with the film.
My favorite counterexample is Silent Hill, the Christophe Gans film adaptation of the horror game franchise. For three-fourths of the movie, it's everything it needs to be: atmospheric, gruesome, disturbing. It doesn't explain anything, but then again it doesn't need to. It's magnificent. Then it makes the fatal mistake of explaining everything, and I hit my forehead with the heel of my hand. The last thing you wanted to do with that particular drum was cut it open to see what made it go bang, especially since it meant the evaporation of all the good will built up by the audience in the film up to that point.
Art forms that are primarily about having an experience do not need explanations. Horror movies (and some fantasy) work best when your sub- and unconscious are engaged directly, when they are spoken to in the language of nightmares and uneasy waking thoughts. Explaining why things are this way runs contrary to that.
Personal note as creator: I've dabbled in something like horror before (more like a dark fantasy), and I feel it was unsuccessful for a variety of reasons — not least of which being it committed this very mistake. It explained everything, and in the end there was nothing to be really chilled by. I had to concede that as a creator I just didn't have the chops for this kind of work. At least, not yet.