Last week, in our Trail of Cthulhu campaign, the Investigators found a Mi-Go city. They needed to go in, to rescue someone trapped inside.
However, my description of the city fell rather flat. Specifically, it never seemed dangerous. The Investigators went through the city. At one point, they saw a Mi-Go, and successfully rolled Stealth to hide. Then they continued and found the prisoner.
Essentially, then, the Investigators strolled through the city and found what they were looking for. It never felt dangerous.
How can I make this city feel dangerous? Here are the methods I know:
Have a fight with the monsters. But I don't want this: I want the monsters to seem invincible, so that the players must not be spotted.
Roll Stealth to avoid being seen by the monsters. But this doesn't seem scary: the Investigators usually succeed, which means there are no consequences; and if they failed, that would simply lead to a fight.
What can I do, specifically, to make this city full of monsters seem dangerous? (Although this is a Trail of Cthulhu game, the problem doesn't seem specific to Trail of Cthulhu. Feel free to answer this question as if it were about Call of Cthulhu.)