Horatio and Marcellus are very suspicious of the Ghost, and fear that instead of actually being the ghost of Hamlet's father, it may be some devil or sprite that seeks to trick Hamlet into following it so that he can be lured into his death. Note what Horatio says as he tries to convince Hamlet not to follow the Ghost:
What if it tempt you toward the flood, my lord,
Or to the dreadful summit of the cliff
That beetles o'er his base into the sea,
And there assume some other horrible form
Which might deprive your sovereignty of reason
And draw you into madness?
Horatio and Marcellus therefore urge Hamlet not to follow the Ghost because they are unsure as to whether the Ghost is what he appears to be or not. This introduces a key theme into the play, which is whether Hamlet and the audience can trust the Ghost, and this is something that Hamlet himself debates, which partly explains why he feels he needs to have proof before he can act to avenge his father.