Curiosity, when not manifesting themselves in some kind of physical form, exists in the dimension of emotion.
Within their realm, Curiosity and others of the same entity class, are detritivores. They consume the energy given off when one emotion switches to another.
Generally, these critters hover around young humans, as their emotions are more volatile.
Interestingly, the prolonged presence of these entities tends to have a calming, mood regulating effect. After this point of equilibrium is reached, they move on to find another emotionally charged human.