they're called that because the tentacles and the skin between them looks like a cloak. A VAMPIRE'S cloak, that is.
also maybe their eyes glow red, but maybe they don't. I've never seen one, you know.
Its latin name is Vampyroteuthis infernalis.
They are, apparently, "neither squid, nor octopus, but the sole member of a an entirely separate order, the Vampyromorpha"