Feeling of click/slip when pedalling This is very hard to explain, but I will try my best.

I recently got a Shimano Ultegra cassette, crankset, front and back  derailleurs, chain, and cables installed on my Giant TCX SLR1 2015 bike.

Every time I pedal, I feel a subtle click or slip on my left foot at a specific interval (when the left arm is going down). However, there is no sounds, I can only feel it in my feet. It’s very subtle.

However, I do not feel it when I put a lot of pressure or when off the seat. I really cannot pin it down to anything, hence I would be grateful for any opinion.
You state in the comments that the (pinch) bolts on the left crank had come loose (Ultegra Hollowtech 2). So you’ve solved the problem by tightening the bolts. 

I saw another bike (I think Ultegra cranks) do this yesterday, again it was a very new bike, it was on its first serious outing and the left arm had worked loose. 

I found the question with a relevant Shimano publication extract: How to tighten the Hollowtech II (on R2000 Claris) cranks?

In short, any time you install these bolts, tighten/torque check them again after 20 km, much like checking the wheel nuts on a car, a short time after it’s been in for a service.