Monster in bay: men go out (8)
I believe the answer is:
bogeyman
'monster' is the definition.
(bogeyman is a kind of monster)
'bay men go out' is the wordplay.
'out' is an anagram indicator (out can mean wrong or inaccurate).
'bay'+'men'+'go'='baymengo'
'baymengo' anagrammed gives 'BOGEYMAN'.
'in' acts as a link.
(Other definitions for bogeyman that I've seen before include "Imaginary monster to frighten children" , "devil" , "Imaginary male feared by children" , "Jinx" , "Dreadful imaginary being" .)