Answer:
Ask them whether he/she has ever seen one...
Answer from a Christian perspective: ghosts are real, but they are not the spirits of departed people (who have actually gone on to heaven or hell). Instead, they are demons or fallen angels who impersonate people who were once alive in order to deceive living people about the afterlife, or to reenact certain scenes or events that give them pleasure (such as a murder, etc.). They like to frighten people for the fun of it, but like the scary Wizard of Oz who turned out to be a little old guy pulling levers in a booth, they really are not all that. Jesus Christ has defeated all demons by his blood on the cross. When you believe in (rely on) Jesus as your Savior you become united to Him, so you can command the ghosts to go in His name. Also, taking Holy Communion (with faith in its meaning) in the areas they are haunting is a powerful way to get rid of them.