For me it was a cat I was deeply bonded to. That cat slept beside me every night while we were together. Every night he would purr me to sleep.
Then after he passed (mind you at the time I was definitely a non-believer in after life) I'd see a small shadow, here and there. I'd brush it off as my imagination. At night as I was dozing off I would feel the bed move, just the slightest movement as of a cat jumping up to settle in beside me.
That went on for several weeks.
Then I had a very vivid dream, my cat (a beautiful maine coon cat) was there in my house, happy, healthy, vibrant. I'm not one to have such vivid dreams that I remember as though it was a movie I had just watched. When I woke up I remembered every moment of the dream and just knew my beloved pet was O.K. and I didn't need to feel so bad or mourn him so much. I still missed him greatly and still tear up if I think about him and it did test my beliefs.
I think we have pets come into our lives that I call 'soul pets'. They seem to connect on a deeper level with their human family.
I have a suggestion Jafo, if you'd like to try it. Get a digital recorder, the type students use to record lectures and such. At the times you hear the sounds run it for awhile, then play it back and see if you can capture the sound. Then you'll know it's not just your imagination if it can be recorded.
Or....you can just let it be a nice reminder of your Rocky....too.
Thanks for sharing Rocky's story.