What is this insect which looks like a cocoon but is moving?

I am from Northern Italy, close to the border with Slovenia.

I saw this thing today on the window, and was sure it was a piece of a dry rosmarine branch carried there by the wind – until it started to move.

It looks like a cocoon of some kind, in fact there is on the top of it a head of something like a caterpillar which sometimes comes out together with some portion of its body. But I imagined cocoons as something attached to a branch, not moving.. And this thing moved from one point of the windows to another, always attached to the window. (I must admit I am reluctant to open the window and examine it from a closer range 🙂 ).

What can this insect be? (the length is around 5 cm)