Something about horror might be appealing to him (in the sense of supernatural influences, the feeling of danger, and whatnot), but also would be way too obvious and also hard to play.

"I'm a character who is undeniably good and fights on the side of the right, but unfortunately suffers from Things I Can't Control which can make me dangerous" (Bucky, Castiel, etc.) = easy to play.

"I am a morally grey character who does undeniably bad things like killing and eating people" (Hannibal, anyone from The Terror) = WAY harder to snooker people with.