I read that in the 60’s but I think it was older than that. I read it in french, but it might be a translation, and not necessarily from english.
It takes place in our world, but satanism is real. A rich and idle man tried to relieve his boredom with a brush with satanism, but got afraid after some time, and decided to give up.
However strange things started to happen. He kept seeing from the corner of his eyes fluffy things that disappeared when he looked straight at them. As time went by, though they kept disappearing from direct sight, they started to look more and more like a feather boa in the corner of his eye. And he had decided to quit precisely after some ugly happening with such a feather boa (I think there was no details about that incident in this story). He is getting more and more afraid.
So he had a idea. Some young naive guy told him he wanted to try some interesting experiences and would he be so kind as to introduce him. So the rich idle guy gives him the address and an introduction letter to the satanists. After that he has a few weeks or months or even years without seeing fluffy things.
But some day he receives a letter from the young and naive guy. Maybe he only got that one, maybe he had already got a few others before, each expressing more worry than the preceding one, I forgot. Anyway in the last one (or the unique one) the young naive says he cannot take it anymore and has decided commit suicide.
Shortly after getting that letter, he sees something moving in the corner of his eye. But this time it does not disappear. It is a bit like a feather boa, but it crawls towards him as a big real snake, and it looks at him straight in the face with bright red eyes.
EDIT : I kept thinking about this story, and I just remembered an extra detail : somehow one knows that the suicide was by way of drowning, and when the snake-feather boa appears at the end, it is soaking wet, not with clean water, rather as if it came out of a dirty pond.
