It always follows you. You may think you see them, but that's just your imagination.

The Hide Behind, known to be just a folktale, is said to be able to conceal itself. When an observer attempts to look directly at it, the creature quickly hides behind an object or behind the observer and therefore cannot be directly seen. It supposedly uses this ability to stalk human prey without being observed and to attack them without warning.

You end up encountering it after moving to Oregon, Gravity Falls after you kept hearing sounds and not seeing anything. You don't really know what it wants. Or why it kept bothering you.

Maybe it only knows.

(Source: Gravity Falls)