They are scared from something that does not exist! Isn't that silly? Just like my son who used to be scared from something invisible under his bed.
One night, I asked him if he let me sleep under his bed so that I catch that thing and then we give it a good beating and teach it a lesson. I stayed under his bed until the morning. He he woke me up, and the first thing he said was.... "Dad, there is nothing under my bed, if there was, then it would have eaten you".
From that day on my son become a brave good boy knowing that nothing is and never been lurking under his bed.
His father also knows that nothing is lurking up in the sky!

And the way to prove this one is addressing a theist and kindly asking God to prove his powers his strength and onipotence, and end your life with a thunderbolt.
I've done this in front of theists, and its great seeing their face in horror. Nothing happened, I am sure they were hoping it would. Their God is a pussy.