The Bible says: you have God the Father, Son and Holy Spirit. They are all part of the same God--the triune God. Christians know the Holy Spirit is real because He lives inside them. He does not live inside people who do not accept Jesus Christ as their Father/Lord and Savior.
Some non-Christians may think the Holy Spirit is real, but again, they do not know Him like Christians do.
http://www.godandscience.org/discovery/chapter5.html
Jesus has a very special love for you. As for me, the silence and the emptiness is so great that I look and do not see, listen and do not hear.
— Mother Teresa to the Rev. Michael Van Der Peet, September 1979
— Mother Teresa to the Rev. Michael Van Der Peet, September 1979
Mother Teresa Did Not Feel Christ's Presence for Last Half of Her Life, Letters Reveal