That 'cold' sensation is a result of a self-fullfilling prophecy:
Given: You are a human being of normal function and descent
Given: You are alone, or at least very far from others in the situation you are speaking of
Given: You are not aware of what is going on behind you do to being heavily involved in a task
Thus, your body naturally wishes to return to the herd, where you are less likely to be eaten by a predator. This however, conflicts with your concious decision to remain alone. This elicts a fight-or-flight response, in which your adrenal glands begin to release adrenaline.
This causes a cold sensation to run through you, causing more fear, and causing more adrenaline to be released. With the stress running, your own eyes, ears and even your mind will play tricks on you. A harmless shadow when in a crowd will seem like something dangerous when you are aroused, ready to react.
The longer you stay, the more you want to leave. As you stay longer, your body will conceive of a method to get you to return to the group. You were built to survive, and if that means going crazy, well that is what it will take.
Simply put, your own brain will create "ghosts" in order to keep you alive, and away from situations that could potentially turn deadly.
For example, a dark area. You can't see in the dark, and thus an animal who can could eat you. Your body knows this, and will try to keep you away. When you simply ignore your survival instincts, your body will become aroused in order to compensate for the foolish action you have taken.
This results in a clash between instinct and reason, in which instinct can create its own world in order to achieve its ends. For instance, if you were to hear a "thump" while standing in the dark area, you would interperet it as a footstep of a potential predator, not a rock falling.
You are built to survive, and if your body senses danger, it will do whatever it can to alert you to it, and if that does not work, remove you from it post haste.
-Penguin
