Ever received reports of footsteps or shadow people? It's relatively common. Motion sensors or geiger counters are a good way to detect movement.
A motion sensor detects movement within a given range ahead of it and alerts you to the occurance through an audio or visual alert.
Geiger counters (or vibration meters) detect movement or vibration placed upon the unit itself. They will essentially 'listen' to vibrations in the ground or whatever surface it is placed on. You can place a motion sensor or geiger counter on the ground near the reported footsteps to be alerted when it occurs.