I always saw him as something of a being that was stationed between myth and legend. Like some story that shinobi tell their children to get them to behave, otherwise they face the consequences of this boogeyman-type figure. In which there are rumours but very few, if any, are sure or certain on whether or not they're true. But for the most dire of people, sometimes a myth is enough to go on. Especially if it comes with half-believable rumours.