Lord of the Flies, by William Golding, is set on a tropical island, and all of the characters are young boys, roughly between the ages of six and thirteen or so. The boys have been stranded here alone, without any adults, so it is not surprising that they have all begin to have nightmares and fears about their situation. You ask where Jack thinks he is being followed in the jungle, but it is clear you know it happens while he is in the jungle; so I assume you mean either where in the book does this happen or what does Jack think is following him.
In chapter three, Jack admits to feeling as though he is being followed sometimes, though he only admits it to Ralph in a moment of candid revelation and soon wants to deny ever having admitted something which he sees as weakness. Ralph says they all need the shelters because they will serve as a reminder of home, and they may serve to help the boys have fewer nightmares. Jack says:
“All the same—in the forest. I mean when you’re hunting, not when you’re getting fruit, of course, but when you’re on your own—” He paused for a moment, not sure if Ralph would take him seriously.
“If you’re hunting sometimes you catch yourself feeling as if—” He ﬂushed suddenly. “There’s nothing in it of course. Just a feeling. But you can feel as if you’re not hunting, but—being hunted, as if something’s behind you all the time in the jungle.”
They were silent again: Simon intent, Ralph incredulous and faintly indignant. He sat up, rubbing one shoulder with a dirty hand. “Well, I don’t know.”
Jack leapt to his feet and spoke very quickly. “That’s how you can feel in the forest. Of course there’s nothing in it. Only—only—” He took a few rapid steps toward the beach, then came back. “Only I know how they feel. See? That’s all.”
This is one of only a few times in the novel that Jack admits to any weakness. He is one of the older boys and he has explored more of the island than anyone else as he has been hunting, so he knows there is no actual beast there. Nevertheless, he sometimes succumbs to the same fears as the other boys. Just as we have all experienced the shiver of fear thinking about something hiding under the bed (and take a flying leap to avoid getting "caught") or in the closet but know there is nothing there, so Jack feels the "creepy" fear of wondering if he is being followed by an imaginary creature.