The brevity of '2 sentance horror story' is key. It leaves a lot to the imagination. For instance, 'I opened the attic door. A strange smell and a soft whisper greeted me.' The lack of details makes our minds fill in the blanks with the scariest things we can think of. Also, they can end on a cliffhanger, making the horror linger in our minds.
In a '2 sentance horror story', the first sentence often sets the normal or seemingly normal situation, like 'I walked into the empty school hallway.' The second sentence then shatters that normality with something terrifying, such as 'Footsteps that weren't mine echoed behind me.' This sudden shift from normal to abnormal in such a short space is what makes them effective at creating horror.