When you send a Facebook message to just one person, it should be "private" between just the two of you. However, nothing is 100% private, especially any communication you conduct over the Internet. That one person could share your "private" message with others if they so choose to.
Also, keep in mind you can do group Facebook messages, which would include multiple people. If someone sends a Facebook message to a group of people, you'll be able to see all the people who were Facebook messaged, if it's more than one person.