Some people have pretty different ideas of what that appeal is. This is why some "monster girls" are little more than odd examples of "nekomimi" while others are more conventionally monstrous. I personally think there are too main elements to the appeal which work separately or in tandem to create attraction.

One is an attraction to exotic women. Many men like the idea of having something rare or otherwise hard to obtain. This can give rise to a fixation on women of other races or women with outlandish dress or strange accents. In this sense, the "monster girl" is not really a monster, but is used in narrative as an attractive foreigner. This gives rise the idea of monster girls as seen in "Daily Life with Monster Girls" as well as the blue/green-skinned alien girls of western pulp sci-fi. See Xenophilia for further reading.