Ooh, this definitely has a spooky feel to it! I actually thought that the imagery that the song itself was evoking in my mind was a bit disconnected from the text and images you included for the description. I didn't get the sense of someone slowly coming to realize something is coming after them -- I think the intro would have needed to be a little quieter and build up for that.
Rather, this came across as someone that's running away mid-chase in a very climactic scene! Also, maybe it's because of the grand pipe organ-like sounds, but I also didn't get the feeling of someone being alone on a foggy street. Instead, I was picturing a gothic castle of some sort. I will say, though, my viewpoint is probably biased heavily by genre tropes -- in some ways it might be good to play around with existing conventions to keep things interesting.
That all has to do more with intent, though -- when it comes to the piece on its own, I think it succeeded in creating an atmosphere akin to some old school horror movies. You mentioned that this is your first time creating music, and this is actually an amazing first attempt! I think as you continue to learn and improve, you can think about things like mixing (EQ, reverb, stereo, etc.), but you should be proud of what you've made -- good work!