It's not an issue of the unknown, actually, it's that the notion of "supernatural" is nonsensical. It's trying to define an impossibly defined realm into existence (the plane of square circles). It exists as a concept but it has no translation in reality. It's safe from any potential for genuine investigation.
"The cosmos is all that is or ever was or ever will be." -- Carl Sagan
Try to come up with a tangible sense of what it could possibly mean for something to exist that's "outside of or other than nature" and exists independently of the mind (i.e. not purely conceptual) and maybe you'll see what I mean.
Byron
The supernatural realm consists of phenomena that we cannot completely dismiss right at this moment. There might be more substance behind these ideas, or there might not be. Either way, at this present point in time, we cannot explain how the phenomena works scientifically. The supernatural realm is only nonsensical in that our scientific theories are not knowledgeable enough to either answer how these phenomena work or explain why the people think they experience such things. The example of ball lightning that I gave was once considered supernatural - there was no plausible explanation until scientists figured out the answer behind it.
These phenomena should, one way or the other, be explained through natural phenomena, whether it is inner psychology or an unusual set of natural circumstances that cause a phenomena to appear.
And I would not say that paranormal phenomena is safe from investigation, far from it. Apart from my example of ball lightning, there were several reports of the coast of Greenland seen from Ireland, when it was over 300 kilometres away, and would have been impossible. That was explained due to a sharp temperature inversion and refraction of light. And psychic abilities are now under several scientific tests to see whether it exists.