Almost 20 years ago I had a cool Logitech mouse that did this. The mouse had a haptic (Synaptics, I think?) engine in it, and when you moved the cursor over buttons, menus, or other UI elements, it would give a slight “tick” as you crossed each boundary. It was very cool. There was a lot of customization available for it as well.

I had to ditch that mouse when I switched to Linux. I think it didn’t have any standard HID-type driver or something.