Historicists are fond of point out that supernatural stories were told about many people in the ancient world about whose existence historians are confident such as Alexander the Great. Therefore, the fact that supernatural stories arose around Jesus of Nazareth isn't any reason to think that he did not exist.
Nevertheless, I think that there is a crucial difference: the supernatural stories arose around Alexander the Great as a result of historical events that occurred within the natural world, not the other way around. When we strip away the legendary tales that grew around Alexander, we still find a significant mark in the historical record as a result of the things he accomplished during his life.
Jesus of Nazareth, on the other hand, first enters the historical record through the writings of Paul, a man who never knew him. Our best guess is that he was relatively unnoticed during his own life by all but a small group of illiterate peasants. He enters the record because Paul and others claimed to have encountered him after his death in the person of the risen Christ whose coming was the beginning of the end times. This is not the type of event which can be considered subject to historical investigation.
Some time after Paul, stories were written about an earthly Jesus who tramped about Galilee teaching about the coming kingdom of God before reaching an unfortunate end in Jerusalem. These stories were written in order to serve the propagation of the belief in the risen Christ who ushered in the end times. The stories of the earthly man are transmitted as a result of the belief in the supernatural event, unlike with Alexander the Great where the supernatural stories arise as a result of the accomplishments of the earthly man.
Historicists say that they use standard historical tools in order to strip away the supernatural embellishments surrounding Jesus of Nazareth in the same way that such embellishments are stripped away from the story of any ancient person. The problem is that when you strip away the embellishments surrounding Jesus of Nazareth, you strip away the reason that any stories were told about him in the first place. When you strip away the embellishments surrounding Alexander the Great, you still have a significant mark in the historical record that was achieved independently of the legends and myths.