Excellent question, and to answer it you need to be aware of some of the symbolism in the novel as well as thinking about the relationship between Heathcliff and Catherine.
One of the key divides or tensions in the novel is between Nature in its full untrammelled beauty and might and also culture. These two extremes are represented by firstly Wuthering Heights and the Earnshaw family and then secondly Thrushcross Grange and the Lintons. Catherine is obviously, as an Earnshaw, a product of Nature - we see that the moors are incredibly important to her and she is governed more by the changeable nature of the weather and the landscape than she is by social conventions. We know she feels a deep attachment to Wuthering Heights as a location, and although she apparently becomes "civilised", as is symbolised by her marriage to Edgar and her living in Thrushcross Grange, the return of Heathcliff exposes where her real loyalties lie. Remember her dream when she imagines she was in heaven but begs to be allowed to return to Wuthering Heights. And think too of Chapter 12 where she imagines she can see her former home. This Chapter also contains her promise to Heathcliff:
"I'll not lie there by myself: they may bury me twelve feet deep, and throw the church down over me, but I won't rest till you are with me. I never will!"
So not only is Catherine still around because she is waiting to be re-united with Heathcliff, but also she has an intense connection to Wuthering Heights as a place. There is clearly unfinished business in the novel as the cycle of repetition shows. It is only when a "happy ending" puts some of these wrongs to rights with the marriage of Hareton and the younger Catherine, that, supposedly, the ghosts can be laid to rest, though note how the last few pages interestingly deny this assurance whilst trying to reinforce it.
Well i can only give you one answer. I think that Catherine haunts Wuithering Heights because that is where she first met Heathcliffe. That place is the one that holds her heart and soul. It doesn't matter where she died...she still belongs at Wuithering Heights. That is the place that hold memories of Heathcliffe and herself frolicking through the moors and having fun as children. And yet it also holds the feel of her family; of her father and her brother.