Here's another definition of eigenvalue (for matrices) that should shed light on your question.
Let $\mathbb{F}$ be a field. Fix $A \in \mathsf{M}_n(\mathbb{F})$ and $\lambda \in \mathbb{F}$. It is a very simple excersie to show that $$\mathsf{E}_\lambda := \{ v \in \mathbb{F}^n \mid Av = \lambda v \}$$ is a subspace of $\mathbb{F}^n$.
Now, in all but finitely many cases, $\mathsf{E}_\lambda$ will be trivial, i.e., $\mathsf{E}_\lambda = \{ \mathbf{0}\}$. If $\mathsf{E}_\lambda$ is nontrivial (i.e., $\dim\mathsf{E}_\lambda > 0$), then $\lambda$ is called an eigenvalue (of $A$). Notice that, with this definition, $\exists v \ne \mathbf{0}$ such that $Av = \lambda v$ (the vector $v$ is called an eigenvector of $A$ corresponding to $\lambda$). Thus, $\mathbf{0}$ is not an eigenvector and its exclusion does not preclude $\mathsf{E}_\lambda$ from being a subspace.
Conversely, if there is a nonzero vector $v$ such that $Av = \lambda v$, then $\mathsf{E}_\lambda$ is nontrivial. Thus, this definition is equivalent to the standard definition.
In summary, these sets are always subspaces, but are of interest when they are nontrivial.