Often, people have a confirmation bias. “I had this feeling and it was true!” Often, your nerves interfere and you sort of force a perception that is unfounded.
When you listen to interviews of people who are on the periphery of a crime, witnesses of some kind, often there will be a pattern of “something not being right”, with a person of interest. Often, these are isolated, completely separate people.
Your brain picks up on cues as to behavior, facial expressions, moods of people, things said out of character and such.
Getting a “feeling of being watched” means that your brain senses something out of place even though your conscious isn’t registering it. It isn’t magic, nor foolproof, nor does it always mean there is a serial- torturing- satanic- rapist stalking you, it means that you picked up on something other than normal.