It's kinda creepy, but I don't see why it should be more frightening than any extrasolar planet. It's only frightening if some of these were ejected after complex life developed on the planet... Or there was a civilization. Given how big the universe is, this has to have happened somewhere.
I also feel that there's a moderate chance that there's a rogue planet closer to us than Alpha Centauri.
I also feel that there's a moderate chance that there's a rogue planet closer to us than Alpha Centauri.