A_584 - The reason why goats have somehow been linked to the concept of "demons" (demons have horns like goats) is because goats keep watch and if any stranger wanders into the area at night they will pick him up. horns. By spreading this rumor it is also probable that they began to try to climb high because perhaps they instinctively felt somehow "unworthy" due to the fact that we depicted demons with their horns...