@mama bear,
Is it near the ceiling heat vents (if you have them)?
I ask because living in the blowing desert sands, we have to have our heating ducts and vents cleaned out every few years. If it goes long enough between cleanings, the accumulating pollen, webs, and dust sometimes develop stringy threads that dangle from the vents.
If you are worried about it, take the bag full of stuff to a local contractor or HVAC place to see if they can tell you what it is.