Cosmic horror too often devolves into “big scary monster from space wants to destroy the world”.
The problem is the “wants” part. The essence of cosmic horror isn’t just scary space monsters, it is fundamentally the horror of apathy.
The cosmic space God doesn’t want to destroy Earth, that gives humanity too much purpose and importance in the narrative. It weakens the horror to know that humanity, or worse an individual human, is worthy of the malice of an incomprehensibly powerful being.
Picture some (sentient) insects in a field. One moment they’re frolicking around their little world, the next minute an unfathomably large object darkens their sky. The next thing they know, the world is ending. Buildings are destroyed, entire generations of bug families are snuffed out in seconds, everything they ever knew is ending around them. What horrible, malicious being could do this? What could we have done to anger it? This is what the bugs think.
However, the thing that has genocided their entire civilization is two teenagers fucking on a blanket out on a farmhouse field.
These beings, unknowable and uncaring about the bug civilization do not even give a passing thought to the horror below. It is not even “beneath” them, as even that implies some level of concern. It is entirely a nonissue.
A good cosmic horror story scares you not with malice, but with utter apathy.