Believe it or not, there's a running gag in the Zelda mangas like this. All of Links' fairy companions are terrified of ghosts.
In Zelda, fairies are the most common form of spirits... So, Link gets confused whenever they freak out over ghosts.
OOT: Navi gets scared by strange singing coming from Lon Lon Ranch at night. (Its really Malon.)
MM: Tatl screams when she sees Darmani's ghost and tells him to move on to heaven already.
PH: Ciela loses it when a skeleton starts talking and she tells it "You're a dead body! Don't Speak!"