I love this. I remember exactly when I first read this, because I ran downstairs to my pilot housemate and practically read the story aloud at him. It starts with the narrator recounting recent pilot deaths, including two who simply vanished and one who crashed with his head missing. They were all flying at the then unusual height of 30,000ft or higher, and the narrator hypothesises whether there might be a threat up there, even if there have been no records of anything so far:
“What does this prove? A visitor might descend upon this planet a thousand times and never see a tiger. Yet tigers exist, and if he chanced to come down into a jungle he might be devoured. There are jungles of the upper air, and there are things worse than tigers which inhabit them.”
And the rest of the story is the narrator going up to check. It’s a simple idea told extremely well, with the gradual ascent in an open-topped monoplane a gruelling experience long before we see any hint of the unnatural.
The Horror of the Heights by Arthur Conan Doyle
Availability: free online, out of copyright
Word count: 6,600
First published: Strand Magazine, November 1913
Where to find it: Wikipedia has a copy here. Gutenberg has the story, though embedded in two collections of Conan Doyle’s work: ‘Danger! and Other Stories’ (here) and ‘Tales of Terror and Mystery’ (here). There are various other copies online.
As for print, I found it in The Wordsworth Book of Horror Stories, uncredited anthologist, 2004, Wordsworth Editions
And in Strange Tales from the Strand, edited by Jack Adrian, 1991, Oxford University Press
There are many more print versions. The ISFDB lists them all here.