Some people do believe that animals have a sixth sense, although there's no proof to back this up. I've often wondered myself what the heck they are staring at. I once had a cat staring at a wall in the basement and all of a sudden her hackles went up and her tail puffed. It's kinda silly but I actually got scared and left the room right away! lol
It's most likely they heard a creak or something, could be a mouse in the wall or a flutter of a shadow and they're just trying to focus on where the sound came from. That's my best guess.