Question regarding Facebook Privacy?

I recently defriended someone on Facebook. No hard feelings, I just didn't communicate with the person as much as I had been in the past. The person later catches up with me and indicates that "they figured Facebook out" and she/he could see the people that I'd been private messaging with (not that she/he could see the actual message or verbiage, just who the other user involved was.) My question is: Is that even possible? I'd never heard of such a thing. And I sure haven't been able to find anything out on the internet. I'm more than convinced that it is just bait, to hook an emotion from me, but still, I don't like the thought. If this information is true, I might consider enabling my messaging all together. Just wondering if anyone else had heard of anything like that before. Thanks!