They manifest the inner fears and things not understood. I like best the one in 'Shrek'.

Yes, I do believe it is because of an inherent fear of predators (or ideas of beasts on finding bones that do not fit any of our known animals) that we've inherited from our ancestors.

VSauce2, a YouTuber, produced an excellent video essay on this. The video agrees with our comments. It suggests that the existence of dragons in our myths are due to our inherent fear of predators - specifically the three most dangerous predators our non-human but mamallian ancestors feared the most: snakes, birds of prey, land predators like wolves and bears.

To quote: "...Snakes have been eating every iteration of our evolving ancestors for millions of years. So by the time homo sapiens evolved and developed language, we were talking about our oldest archenemy...":

The Millions Year War (Man vs Dragon):

I think it was a "Feathered Serpent" in the Aztec mythology, not a "dragon".

I don’t know, maybe something in the collective unconscious, like fear of snakes?

I think it's one of these archetypical "monsters under the bed" things us humans think up. Perhaps also from nightmares.

Because people have been finding dinosaur fossils throughout human existence--they didn't just suddenly show up in the 19th century.