When they say that, they could be monitoring more than one sector. OR it could be that something went wrong with the radio and he's using a back up freq. Lots of reasons why they would say that.
Or you flew out of the coverage area of one ground radio site into another, and it's still all the same sector. (Mountainous areas, this happens frequently.)
I'm of the camp that it goes like this:
ATC: "Skylane Seven Niner Mike, change to my frequency 123.45."
Me: "123.45, Seven Niner Mike."
[Brief pause to see if he was working other traffic on the other frequency...]
Me: "Skylane Seven Niner Mike, up 123.45."
ATC: "Skylane Seven Niner Mike, Roger."
Often what prompted the switch is that they noticed they need to tell you something or give you the next altimeter setting, or [insert things triggered by noticing where you are on the scope here]... so that last line will often be:
ATC: "Skylane Seven Niner Mike, Roger. Denver Altimeter Tree Zero Zero One. And I'll probably lose you on radar for the next 10 miles, monitor this frequency, should see you again near XYZ."
Me: "Three Zero Zero One, understand on the radar, Seven Niner Mike."
Other common mixes are things like staying ahead of what's going on. The frequency change may be to get ready to hand you off to a tower for landing... and if you're far enough ahead of the game...
Me: "Skylane Seven Ninber Mike, up 123.45 and we have ATIS Whiskey and the airport in sight."
ATC: "Skylane Seven Niner Mike, roger and thanks."
Or, that one goes even more efficiently if you're VFR and it's a quiet scope...
ATC: "Skylane Seven Niner Mike, thanks, no traffic observed between you and XYZ, contact the tower now, 118.X"
Whenever possible I try to think ahead to what they're going to need to do their part... if you can pass the "next" piece of information in the normal chain of comm, it just speeds up everyone's life.