Almost everyone at some point has felt the eerie synchronicity of seeing an ad served up on Facebook that exactly corresponds to a recent conversation.
Of course Facebook/Instagram is listening in on your private conversation with friends, catching key words, and then serving you tailored advertisements. And of course Facebook would deny this is happening.
What is more creepier is that someone had messaged me asking if I ever get advertisements just from thinking about something (not actually talking out loud). And yes it has happened multiple times for me.