A fantomatic treasure goblin is following me

It is the effect of a puzzle ring.

Summon a treasure goblin who picks up normal-quality items for you. After picking up 12–16 items, he drops a rare item with a chance for a legendary.

Source: http://us.battle.net/d3/en/item/puzzle-ring

Are you wearing a Puzzle Ring?

This gives you a goblin pet who collects white items for a rare item and a chance at a legendary.