What is it called when you are about to go to sleep, but you feel like you are falling?

Hypnagogia. The interval between waking and sleeping is hypnagogia, and it is common to have hallucinations during this time. The equivalent for transitioning to the awake state is hypnopompia.
Sleep starts. These are called sleep starts (the medical term is "hypnic jerks"). Sleep starts are sudden episodes of sudden muscle jerking, often accompanied by the sensation of falling, that occur as one is falling to sleep. These are common, benign, and almost never need to be treated with medication.