Collective behaviour is a widespread phenomenon in biology, cutting through a huge span of scales, from cell colonies up to bird flocks and fish schools. The most prominent trait of collective behaviour is the emergence of global order: individuals synchronize their states, giving the stunning impression that the group behaves as one. In many biological systems, though, it is unclear whether global order is present. A paradigmatic case is that of insect swarms, whose erratic movements seem to suggest that group formation is a mere epiphenomenon of the independent interaction of each individual with an external landmark. In these cases, whether or not the group behaves truly collectively is debated. Here, we experimentally study swarms of midges in the field and measure how much the change of direction of one midge affects that of other individuals. We discover that, despite the lack of collective order, swarms display very strong correlations, totally incompatible with models of non-interacting particles. We find that correlation increases sharply with the swarm's density, indicating that the interaction between midges is based on a metric perception mechanism. By means of numerical simulations we demonstrate that such growing correlation is typical of a system close to an ordering transition. Our findings suggest that correlation, rather than order, is the true hallmark of collective behaviour in biological systems.