You are probably thinking of what the Bible says in James 2:19: "You believe that there is one God. Good! Even the demons believe that and shudder."
But why do the demons (who are Satan's servants) shudder? The reason is because they know God is real and that someday they will be judged and condemned by Him. They have no doubt that God exists; after all, they battle against Him every day. Remember: Satan's one goal is to resist God, and to try to block His work at every turn. As the Bible says, "Our struggle is not against flesh and blood, but against ... the powers of this dark world and against the spiritual forces of evil in the heavenly realms" (Ephesians 6:12).
Believing in Jesus means more than simply believing that He existed, or that He was a great teacher, or even that He died on the cross and rose again for our salvation. Believing in Jesus means trusting Him as our Lord and Savior, and personally committing our lives to Him.
Yes, Satan and his followers believe Jesus exists; they even know He is the Son of God who came from Heaven to save us. But they do not trust Him, nor will they ever be committed to follow Him. What about you? If you have never turned to Christ in repentance and faith and committed your life to Him, do so today.