It's only said to happen entirely in the mind by people who can't prove it exists anyway.
Well, since nobody has proven the existence to the world at large, that goes without saying.
If a precognitive sense (or whatever ESPy thing) is one day proven to exist, it could as easily turn out that the sensors are in, I dunno, our forehead skin, or our pineal gland, or our earlobes, or whatever.
Well, the tissues of the human body have been pretty well scrutinized - I'm pretty sure there's no full-out organs or large groups of sensory nerves hanging out there that are still of no known function.
Plus, honestly, for something like precognition, what is it that you're receiving? Is there a chemical, electromagnetic, or physical interaction with your body? If not, then that information isn't being picked up by a sensory process as we currently understand them, and something more strange would have to be going on.
Again, not saying there are such senses, just that any theories about where ESP takes place is about as valid as humors: those theories don't have to turn out to be true in order for ESP to exist.
True. But then again, if we are going to consider that such senses exist, it is only because of the stories that claim they do - so we have to accept that at least some of those stories are in some way true. It would not be likely that ESP exists, but otherwise the stories got it *completely* wrong. You'd expect that the actuality of the sense would be consistent with the most common bits of lore.
And, by and large, the stories aren't generally linked to some sensory organ outside the brain. That's one of the few common points of such stories. Ergo, your left big toe is probably not the seat of ESP.