In various sources, it is mentioned as sensed presence or sensed presence effect.
Have you ever had the sense that you were not alone, that another person, perhaps menacing, was in the room with you? And yet, when you look around, no one was there? This is a common experience, which researchers call a “sensed presence.” Neuroscientists hypothesize that this common experience likely has a neurological correlate – meaning that activity in some specific part of the brain is responsible for generating the sensation of a presence.
http://theness.com/neurologicablog/index.php/who-goes-there/
And recently, it is discovered that the brain region which is responsible for this phenomenon is angular gyrus:
Do you ever get the feeling that someone is behind you and you turn around to see no one there? Scientists believe that they have found an area of the brain that is responsible for that creepy feeling. It is called the angular gyrus.
http://blog.lib.umn.edu/hutch213/myblog/2012/02/out-of-body-experiences-and-the-ghost-behind-you.html
In plain English, I would call it an eerie sensation or eeriness.
eerie (n)
- Inspiring inexplicable fear, dread, or uneasiness; strange and frightening.
- Suggestive of the supernatural; mysterious.
http://www.thefreedictionary.com/eerie