Happens all the time

This is actually a modern adaptation of the human body.
Before cell phones, the body would sometimes just be itchy, without any allergies or big bites.
The body has replaced phantom itch with phantom buzz.

Full explanation of the phenomenon: https://youtu.be/MCMJa6IW-Hc?t=2m3s

I've felt that and not even had my phone on me

Happens when my phone bumps my zipper. The ridges do it.