On my system it are symlinks to /sys/..:
$ ls -l /dev/fan*
lrwxrwxrwx 1 root root 41 Feb 19 17:50 /dev/fan-p6 -> /sys/devices/platform/p6-fan/hwmon/hwmon6
lrwxrwxrwx 1 root root 41 Feb 19 17:50 /dev/fan-p7 -> /sys/devices/platform/p7-fan/hwmon/hwmon5
Those are generated by an udev rule:
$ cat /etc/udev/rules.d/90-helios64-hwmon.rules
# Helios64 persistent hwmon
ACTION=="remove", GOTO="helios64_hwmon_end"
#
KERNELS=="p6-fan", SUBSYSTEMS=="platform", ENV{_HELIOS64_FAN_}="p6", ENV{_IS_HELIOS64_FAN_}="1", ENV{IS_HELIOS64_HWMON}="1"
KERNELS=="p7-fan", SUBSYSTEMS=="platform", ENV{_HELIOS64_FAN_}="p7", ENV{_IS_HELIOS64_FAN_}="1", ENV{IS_HELIOS64_HWMON}="1"
KERNELS=="2-004c", SUBSYSTEMS=="i2c", DRIVERS=="lm75", ENV{IS_HELIOS64_HWMON}="1"
SUBSYSTEM!="hwmon", GOTO="helios64_hwmon_end"
ENV{HWMON_PATH}="/sys%p"
#
ATTR{name}=="cpu", ENV{IS_HELIOS64_HWMON}="1", ENV{HELIOS64_SYMLINK}="/dev/thermal-cpu"
#
ENV{IS_HELIOS64_HWMON}=="1", ATTR{name}=="lm75", ENV{HELIOS64_SYMLINK}="/dev/thermal-board"
ENV{_IS_HELIOS64_FAN_}=="1", ENV{HELIOS64_SYMLINK}="/dev/fan-$env{_HELIOS64_FAN_}"
#
ENV{IS_HELIOS64_HWMON}=="1", RUN+="/bin/ln -sf $env{HWMON_PATH} $env{HELIOS64_SYMLINK}"
LABEL="helios64_hwmon_end"