If you are a member of any Facebook groups, fellow members or admins might try to send you a message. If a message comes from someone who is not a Facebook friend, it generally goes into Facebook's version of a spam folder, named "Other."
You might not ever even notice it! But it is quite easy to check the folder.
Each step is numbered in the above picture.
1. Click "Home" to access your Newsfeed.
2. Click the little folders to the right of "Home" to access Messages.
3. Click "Other" (right of "Inbox").
As a bonus, you can mark messages as unread if you want to go back to them later.
PRO TIP: If you reply to someone in the "Other" folder, they can now message you in your Inbox.