Is there a reason everyone says "There is someone watching me. I can tell."?

The most I can think is it being a reference to the godhead but thats it.

Edit: a few people have mentioned that they only get this like before a certain event or while wearing or casting a certain spell, which I thought was interesting, like someone mentioned every time they hear this, the next time they go to sleep an assassin attacks. This isn't the case for me, it's been said my whole playthrough so far with nothing seemingly triggering it, but I thought it was worth noting