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Highly oriented pyrolitic graphite (HOPG) is an inert substrate with a structural honeycomb lattice, well suited for the growth of two-dimensional (2D) silicene layer. It was reported that when Si atoms are deposited on HOPG surface at room temperature, they arrange in two configurations: silicene nanosheets and three dimensional clusters. In this work we demonstrate, by using scanning tunneling microscopy (STM) and Raman spectroscopy, that a third configuration stabilizes in the form of Si 2D nanosheets intercalated below the first top layer of carbon atoms. The Raman spectra reveal a structure located at 538 cm$^{-1}$ which we ascribe to the presence of sp$^2$ Si hybridization. Moreover, the silicon deposition induces several modifications in the graphite D and G Raman modes, which we interpret as an experimental evidence of the intercalation of the silicene nanosheets. The Si atom intercalation at room temperature takes place at the HOPG step edges and it detaches only the outermost graphene layer inducing a strong tensile strain mainly concentrated on the edges of the silicene nanosheets. Theoretical calculations of the structure and energetic viability of the silicene nanosheets, of the strain distribution on the outermost graphene layer and its influence on the Raman resonances support the STM and Raman observations., 18 pages, 9 figures, 2 tables