Children are different.
(1) Your child might have a lively imagination. This is a wonderful gift, but it has the drawback that he can vividly imagine all kinds of evil that might befall him, and these imaginations will impress and influence him deeply. Try to help your child to see the positive aspects of his gifts (he can become an inventor or artist or scientist) and simply help him with his fears by providing him with what he needs to alleviate them. Ask him, what would help him, and give it to him without making a big deal out of it. It will be a passing phase, and a few months later he will stop needing to fall asleep near you or whatever it is that he wants.
(2) Your child might be highly sensitive. This is a mixed blessing. Google it and read up on it. Again, try and be patient and understand (and help your child understand) his gift and the positive aspects of it. Great things await him, if you help him instead of making his disposition a problem.
(3) Apart from physiological and cognitive causes (imagination, sensitivity), fear is usually the result of insecurity. Why does the other boy not fear the Slender Man? Because that child is secure in his place in the world. Children that are much afraid, often have lost a parent or have had to live with the (real or imagined) fear of losing a parent. This is often the case when the parents had a stressful time during the childs early months and years. There do not have to be any thoughts of divorce, but the child might interpret the tensions and intense emotions (even if suppressed) to mean that some fundamental change is going to happen. It is also often the case, if children are forced to endure lack of physical contact. Children that are breast fed one or two years are (on average) significantly less afraid than children that are bottle fed from birth. Children that are carried instead of laid in a buggy, children that are allowed to sleep in the parent's bed instead of being forced to cry in their own rooms etc. have gained more trust in the world and are less afraid. This is a cultural phenomenon, because breastfeeding, baby slings, and sleeping in the parent's bed are out of fashion in the Western world, and we bring up a whole population of insecure children. Strangely enough it is often the children of poorer families that are more confident, because they sleep in the same bed as their siblings and the parents have no money to buy artificial milk.
Think about the development of your child from birth until his current fear and try to be honest to yourself about how you might have helped him to become afraid of the world instead of giving him the basic security that you are always there to protect him. You did the best you could at that time, so don't feel guilty, but just try to understand your part of what made him who he is, and then allow yourself to try and give him the best you can at this moment again.
(4) Stop worrying, because you will only worry your child. Are you a happy carefee person (and are the other members of your family), or are you afraid of losing your job / being mugged on your way home from the cinema / that your mother will die of the cancer that has been found last month? Often one family member will feel the emotions that another family member suppresses. Try and get rid of the real fears that your family has to face, and the imaginary fears of your child might vanish with them.