I don't think King himself would agree with this statement, at least not for a huge part of his novels, which he clearly meant to fall in the "horror" genre, if often his own personal brand of horror.

I think it's more a matter that for all sort of reasons, he's not found something to scare you with, or quite possibly he's not managed to draw you enough into one of his situations or story/characters that you experience it with the characters as if you were concerned or it could happen to you rather than as an outside observer. But it's not for his lack of trying. Some of his books dealt with stuff that would horrify/scare more limited audiences because of specific experiences or sensibilities while the rest would experience them more like thrillers, but a great deal of his books used devices King obviously hoped would scare the largest possible audience. It's extremely obvious in how for instance King has tried to offer a palette of characters/situations so one or the other would be endearing to each type of reader, and do the trick.

I don't know, you say you hate scary movies (I share the feeling, I can't stand them). Perhaps if you watched a lot, you'd discover it's more the cinematographic whole that you don't like, that if you stripped them of all the tricks created by music, sound effects and the "edge of your seet" editing tricks - and the very graphic aspect, what's left wouldn't have much more effect to scare you or haunt your mind at night than a King book. It's the case for me, anyway (though King has scared me... it's just not the unpleasant experience most horror movies give me. I understand why so many love those, all the more when they watch them with friends or a large audience, but it's never been a fun experience for me. It's not the gore aspect, I tolerate that well enough in other contexts. It's the whole cheap tension and emotional manipulation in horror films that I don't enjoy I guess, rather than being cathartic as it is to many (fear by procuration, much like violent movies can be cathartic), it's just a wholly avoidable, and thus avoided, artificial source of stress for me...not to mention most of those movies are absolute crap cinematrographically. So I've limited myself to the movies that are good ones on their own, and happen to be horror ones, eg: Kubrick's The Shining)

Mind you, from what you wrote it seems one thing you really don't like is gore. Forcibly, this has far less impact in books, especially for those who won't let their mind wander on it to provide the missing visual dimension. King isn't really much of a gore writer, though. There is some of that for sure, but his favourite devices are rather more psychological and emotional, in the sense that even when there's gory elements, King manages to scare more by messing with the mind or emotions of the reader (after making his reader care or identify with the characters, most often) than by the gore elements in and of themselves. This gets more obvious after his early period, where most of his novels are set in extremely mundane/casual settings. Early books like Carrie, The Shining (that's nowhere as brilliant or scary as the movie adaptation) had situations more "extraordinary". Later on, King would have a phase where he made the "set up" as mundane and normal as possible, and would become more effective at drawing the readers in before the horror began (I'm talking of the novels from the period that had Cujo/Pet Cemetary/It/Tommyknockers and so on). As far as I remember (I must have read Carrie in the early 80s, while in the equivalent of High School), King wasn't yet as nearly effective at drawing you into the story as he would become later. It was more difficult (at least for me) to "internalize" the situations and get in the place of his characters. I remember quite a few female friends (they would have been 12-13 y.o. girls at the time) had far less trouble than me identifying with Carrie or other early characters of King (I also know a lot of people, incl. me, my mother and several friends, stopped reading King, or became extremely selective and read many reviews before buying his new releases, after "It", when it seemed with each novel or collection of novellas King was becoming more formulaic and the endings became more disappointing and book-breaking.

I've long given up on King, though based on reviews from people I trust who have similarly long given up on him - or rather as professionals they had no choice to keep reviewing him but have given bad or very mitigated reviews to most of his later ouput, I'm somewhat tempted to pick up The Dome.