It's become quite a common feature in horror games to feature gameplay that doesn't allow for the use of weapons, be they guns, clubs or items you find in your environment. The idea is that you are just a normal man and all you can do is run or hide.
I was playing Outlast on the PS4 a few nights ago (I'll review it soon) and was telling my girlfriend it was pretty scary and that that was largely because you had no weapon. She asked why I couldn't just grab something and use that as a weapon. I argued that in the situation your average person was more likely to simply run and that that was what the game was going for but after thinking about it I'm not sure that's necessarily true.
A lot of the time you probably would run and hide but surely you would also make sure you were armed just in case you were forced to fight back, or in case the opportunity arose to go on the offensive? Granted you might not find a gun, or even know how to use one, but almost anyone can throw something relatively heavy or swing something or stab someone/something with something.
Lots of these games, a great current example being Outlast, try to be fairly realistic and believable in their depictions of events and as a result are quite highly immersive and enjoyable, the problem is it's the little things that break this immersion. Not being able to arm yourself is definitely an example of this. If I'm sneaking up on a guy who, if he saw me would club me to death, then in real life I'd consider bashing him over the head with something heavy but in Outlast, and plenty of other horror games, I'm left to simply watch him and run if he sees me.