I actually wrote a long, lengthy, rant about horror genre being gone years back; where it is floating around E(think it is on E) is beyond me.
Though the primary factor is.
-Most directors now focus more on gore. Gore does not make a horror movie a horror movie. Gore does help in making a horror movie, a horror movie; but it is the context of how such is used.
-Special Effects. They are over done, way over done.
-The Villain. Just isn't scary, normally.
And 2000s? I can vaguely recall many good horror movies that were 2000s that were 'horror' movies.The only one I can reasonably think of is Ju-on: The Grudge(The Japanese version that makes the Western version look like Hello Kitty,) Dark Water(Japanese horror movie) and well, I think that is it. Although, the thing about Ju-on is it is an actual series of different movies. I believe the Grudge ones took place after the Curse series.
Edit: Also, I believe saying Horror movies fell off the map during 2000s is giving them way too much credit. I don't recall many good horror movies back in the 1990s compared to master works of older generations that were scare worthy. (First Alien, old Dawn of the Dead, The Shining, Variations of older Dracula movies, House on Haunted Hill, Nosferatu movies, so on and so forth)