I read fantasy all the time. The reason I don't worry about it, is that it's fiction. The characters don't even exist. Most writers don't even deal with actual pagan cults from the past, although they do use the cultural trappings. But while there are some books set in the time of the Roman Empire, or the Greeks, or something, most of the gods you'll see in fantasy novels were never believed in anywhere on the planet. They're made up for the purposes of the story.
For some people, there is simply an attraction about certain times in history, when the culture and technology were very different. So they have fun with it.
I read a lot of mysteries, too. Now that's creepier, because while the specific cases are fictional, the fascination with weirdos who do crime isn't.