It sounds like polyester fiber fill. Does it look like this?
Throw pillows and toys are stuffed with this, and sometimes when you tear off the tag, you also tear open the seam. I've had this happen and I just sew the seam back up. If you don't sew, take it back to the store, and next time clip the tag instead of tearing it off. Normally this wouldn't bother me, but since many of the toys are coming from China, there have been some problems with contaminants. I suggest washing all cloth toys before using them as well.