Nightmare

Nightmare  is a type of Monster featured in the series. These creatures debuted in  Puella Magi Madoka Magica the Movie: Rebellion  as beings created by Homura's subconscious(1).

In  Puella Magica Revelation Magica, they are created by common distress in humanity.

Information
Nightmares  are creatures that create nightmares on their prey, feasting on what their prey dreams. After they are killed, the prey's nightmares disappear cleansing the magical's soul gem. Of course, they only emerge at night, when humans are at their most helpless.

Reference

 * 1) https://wiki.puella-magi.net/Nightmare