We survived by evolving mechanisms that kept us alive. Being able to see, hear, smell etc a danger allowed those who did the abovementioned seeing/hearing/smelling better to survive. So in the background of our normal lives our brains compile a bunch of data (sounds we hear, weird changes in wind, etc) to create potential possibilities. Your “top-level” consciosness doesn’t need to know that air shifted slightly, every time that happens. But if the air shifted slightly, and there was a small noise, and a few other things, then your “survival” part of brain makes the incredibly complex math of “Sound + movement = someone else, ALERT” and gives you the feeling of “i should turn around and check”.
This is especially increased when you are stressed or fearful – i.e. watching a scary movie. Your body is preparing itself for fight-or-flight, and thus pays even closer attention than usual to minor details.
tl;dr – you get that feeling because millions of years ago monkeys that got that feeling survived to make babies more often than the monkeys that didn’t get that feeling.
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