Maybe the better question is do we believe that dogs can sense ghosts (if ghosts actually exist). Many of us would like to believe that our dogs can detect invisible presences, guided by a some kind of sixth sense. In the 2009 book “Tails of the Afterlife” by Peggy Schmidt, you will find cases of unexplainable actions by dogs who apparently interact with something unseen.
But your dog’s “sixth sense” may be the result of his keen hearing, exceptional nose, and a dog’s eye view on the world that allows him to sense small movements that escape our attention. His eyes detect more delicate movements; his sense of smell is up to 10,000 times more sensitive than a human’s. He can hear much higher frequencies, and at four times the distance of a human.
Here you can find more about this topic: http://www.animalplanet.com/pets/can-dogs-sense-the-supernatural/.