As looslib pointed out, one source of these phantom entities is 'component' entities that get left behind when you move subcomponents to other layers. This is especially problematic when you split up a large assembly to different layers (say, for drawing purposes).
When a component is selected, UG grabs the 'component' entity, its associated geometry entities, and its subcomponents with their geometry. If this item is a subcomponent of a higher assy (in the work model) you may go up the tree and select the higher assy component also (the phantom entity). You can then move the entire mess to the layer of your choosing. If, however, you have already spent hours moving hundreds of subcomponents to specific layers and months building a drawing with several hundred views, (as I have) you may consider suicide as an option.
This is a prime candidate for a UG/OPEN utility that would search the database and identify component entities that do not share a layer with any of their subentities. UG/OPEN does provide the capability to change the properties (like layer) of an entity without affecting its subentities. Does anyone out there have such a utility?