It happens to me if some or all of my relays and down. I imagine it would also happen if you don't use as many relays as I do and you see someone replying to a post not on your relays.
Discussion
It happens when my own note is the thing being replied to too though
Well depending on how well your client handles internal caching and local database stuff (most of them don't handle it well), the first issue could still be the case. Does this always occur for certain notes or is it something that sometimes happens and sometimes doesn't?