Sometimes when people talk in public about cockroaches, for example, it happens for some people to feel the skin itching and yet, no cockroaches were there. Is there a name for this phenomenon?
The name you are looking for is Formication.
Formication is the medical term for a sensation that exactly resembles that of small insects crawling on (or under) the skin. It is one specific form of a set of sensations known as paresthesias, which also include the more common prickling, tingling sensation known as "pins and needles". Formication is a well documented symptom, which has numerous possible causes.