Subtle cosmic horror. The implications.
For example, image diving into a deep ocean, and it gets darker, until there is no light left - and a few lights dint somewhere, and you dive on.
It could be that the story mentions the lights very casually, as nothing relevant, merely for detail; but that you sense hints of the water vibrating, knowing not whence it comes.
What is it? The reader is left to interpret. Is it a large sea monster? Merely a few bioluminescent worms swimming by? Are you making up things?
Nobody knows; and that fear is the unknown.