Why do so many readers find the story's last line frightening?
The last line of "By the waters of Babylon" by Stephen Vincent Benét is "We must build again." It is uttered by the protagonist, who has discovered the mummified body of one of the former inhabitants of the ruined city (evidently New York), and thus realized that they were not gods but human beings like himself. A reader might find this last line frightening because the protagonist does not seem to have drawn any broader lesson from the fate of the city and its former inhabitants. There seems to be a danger that he is determined simply to repeat the past without learning from it.
Underneath the veneer of faux-indigenous spirituality that the author has endowed him with, the protagonist is an ambitious and even somewhat aggressive person who places dangers and taboos secondary to a desire to know the truth. He does not seem to be very receptive to his father's warning that "If you eat too much truth at once, you may die of the truth." This suggests that if he has his way, the ancient cities will be explored and studied, and the ancient "Babylonian" lifestyle re-established, without sufficient reflection as to what caused that lifestyle to meet the disaster that had destroyed it.