There are writers who invent worlds, some funny, some thrilling, and most of them do a pretty good job at it. Paul Auster does not invent any new worlds, he is talking about your world, our world, but suddenly seen from a completely different perspective, a new point of view, and that is extremely disturbing. Extremely.
In the end, each life is no more than the sum of contingent facts, a chronicle of chance intersections, of flukes, of random events that divulge nothing but their own lack of purpose.
The reason Paul Auster is able to do that party trick of deconstructing your world and replacing the distorting mirror we usually use with a real one, or vice versa, is the same reason people think he was influenced by all these dead philosophers is that like them he understands. He got it. Without letting us know, hiding it under the guise of almost normal stories, he is playing with the chords of our being.