The short story you described is "The Worm" by David H. Keller, M.D. (first published in Amazing Stories, March 1929, reprinted in Fantastic, September 1965, which is available at the Internet Archive):
He suddenly saw what it all meant. Two hundred years before, his ancestors had started grinding at the mill. For over a hundred and fifty years the mill had been run continuously, often day and night. The vibrations had been transmitted downward through the solid rock. Hundreds of feet below, the Worm had heard them and felt them and thought it was another Worm. It had started to bore in the direction of the noise. It had taken two hundred years to do it, but it had finished the task, it had found the place where its mate should be. For two hundred years it had slowly worked its way through the primitive rock. Why should it worry over a mill and the things within it? Staples saw then that the mill had been but a slight incident in its life. It was probable that it had not even known it was there—the water, the gristmill stones, the red-hot stove, had meant nothing—they had been taken as a part of a day's work. There was only one thing that the Worm was really interested in, but one idea that had reached its consciousness and remained there through two centuries, and that was to find its mate. The eye looked upward.
You can listen to the Mind Webs reading of "The Worm" at the Internet Archive. It has been reprinted in various anthologies, many (but probably not all) of which are listed in the ISFDB page for that story. By clicking into a title you can see the table of contents and, in most cases, the cover of the book; maybe you will recognize the one you read before. Since you said it was a "collection of monster stories", I'm going to guess that it was the same book that I have in front of me: Creatures from Beyond, edited by Terry Carr, published in 1975.