The "third eye" is a metaphor for your spirit. It is your spirit which has the ability to see spiritual things, just has your two physical eyes can see physical things.
People involved in witchcraft talk about "the third eye" to stir people's curiosity and lure them into witchcraft and spiritism. Witchcraft involves using demonic means to practice the supernatural.
If you don't want anything to do with the devil, run away from the people who talk about opening the third eye. Because 'opening the third eye" and things in that line is just an introduction to demonism and witchcraft.
May God help us.