this has happened to me too... then I figured out it was because of a careless action I made just moments prior to saving the game.
Subsequent loading of the SAVED GAME put me in the middle of a circumstance where I had already been discovered.
In my case, a plane had spotted me minutes before I saved it... so I'm assuming planes can report to merchants below??
...truthfully, I think sometimes the game is kinda glitchy in this regards though.
