This feeling is quite common - far more than you would think.
Although as a species we adopt a veneer of civilsation, as biological specimens, we retain a lot of the aspects of our primeval ancestors - including hairs rising when frightened - the reaction for primeval man would be for his fur to stiffen up to protect him in the event of a possible fight.
it is likely that your primeval senses heard something outside which your mind did not pick up - or more likely filtered out - but your 'fight or flight' reflexes kicked in anyway, causing you to react. Your reaction would trigger a burst of adrenaline which would give you instant shivers, and cause you to breathe more deeply and tense your muscles. This could lead your subconcious mind to imagine a physical threat, even though none is there - hence your feeling that someone was with you.
As I said, these reactions are primeval, and have not eveolved out of our systems yet, so don't worry about it, it's perfectly natural.