They leave a lot to the imagination. Consider 'The empty swing moved by itself.' It doesn't explain why, and that's what makes it so terrifying. Your mind fills in the blanks with all kinds of horrible possibilities, and that's the power of very very short horror stories.
Many horror very short stories rely on a sense of isolation. The characters in these stories are often alone or cut off from help. In 'The Landlady', the young man is alone in the boarding house with the strange landlady. And they usually have a strong atmosphere. Whether it's the oppressive feeling in 'The Yellow Wallpaper' or the general sense of dread in 'The Monkey's Paw'.
One story is about a girl who moved into a new old house. Every night, she heard strange scratching noises from the attic. One day, she finally went up there and saw a long, bony hand reaching out from a small hole in the wall.
Sudden twists. Like when you think a character is safe and then suddenly they're in mortal danger. In a short story, this can be really shocking. For instance, a person thinking they escaped a haunted place but then finding out they're still trapped in some other way. It plays on our sense of false security.
Isolation is a common element. Like in many stories where the character is alone in a spooky place such as an old house or a deserted forest. Another is the unknown. When there are strange sounds or figures that are not clearly defined, it creates fear. For example, a shadow that moves on its own without a clear source.
The unexpected twists. In these stories, you might think it's going one way and then suddenly something completely different and horrifying happens. Like a character thinking they're safe in a locked room but then a hand reaches through the wall. It plays on our sense of security and shatters it.
Sure. Here's one: The old house was empty for years. I heard a baby crying from inside. I entered, but there was no one. Then I realized the crying was coming from the walls.