Just liking gory movies does not make you mentally ill. I work as a teacher and talked to one of my students about her favorite movies. She is 13 and said that she liked violence. First I thought, wow, but just because she admitted it quite openly. But then again I had to think of my favorite movie which is also violent. One could say that it may be more common in boys, but even girls like violent movies. There is nothing wrong with it. As for girls liking it, it could have to do with the fact that some killers or bad guys are made quite attractive or even look cool to a lot of kids, thus they like it or even fall for the character. That does not mean however, that they like or condone violence or would become violent in later life.
Unless it is just liking, no obsessive thoughts or anything you should not worry about it.