My 5-year-old son, Abdul, is my youngest of three kids. His sister is 16 and his brother is 13. Abdule constantly feels afraid whenever he's alone for a second. he doesn't fall asleep (in his shared room) unless I am sitting next to him. During the night, he wakes up screaming and looking for me. He's always interested in zombies and monsters, but he is also afraid of them. I try to prevent his exposure to any scary stuff.
Children commonly go through fearful phases, like the one you describe, where their imagination gets the best of them. Children who are more prone to anxiety are more likely to have these phases. If the phases continue for a long time, they become more of a problem, so it's good that you're thinking about this now because it's easier to help your son when he's young.
Since his imagination is still very active at this age, use it to your advantage. Help devise thoughts and behaviors that will help him. Make some "zombie spray" -- a mixture of water and a little lavender fragrance (for a calming effect) -- in a bottle to spray away the zombies and monsters before bed. Have him imagine a "force field" or a "safety bubble" around him in the room. Tell him that even zombies and monsters need to go home for the night and that you're banishing them all to go be with their own parents. Help bring his breathing to a slow, deep pace and to relax his body, from his toes all the way up to his head. You can also build his experience of being alone in the house, even if you're just in another room for a few minutes. Praise and reward him for being strong and brave, especially if he sleeps all night long without waking you up. Remind him when he handles things all by himself.
If your son's fears last more than a few weeks, it's time to find a warm, experienced, and icensed child therapist who specializes in children's anxiety. Also, check out Freeing Your Child From Anxiety by Tamar E. Chansky, PhD., for more ideas.