This is just one of a variety of such beliefs. The following (modified) sentence appears in 'Macbeth' ..."By the tingling of my thumbs, something wicked this way comes." (It's not 'tingling' in Shakespeare's version, but I'm sure AnswerBank won't allow me to use the actual word. If you need a clue, it's what you feel if you stick a needle into your finger.)
The idea that, if you shiver, that means someone is walking over your eventual grave-site is a similar concept. Some believe an itchy palm means money is coming your way and there are many other such beliefs. All of these examples are superstitious hangovers from the days of witchcraft/angels etc, when people believed they were constantly being offered signs and warnings of distant or future events.