"I suppose it would be nice to get away from us. You don't seem happy sharing a city with so many human beings."

He suddenly registers her question. "You mean you don't know that already?"

Maglor and Maedhros were the ones who came for revenge. Presumably at the time, she would have recognized Maglor from when he showed up at Rage's temple to help Curufin fight her summoned demons. And he thinks it's quite likely that Maglor announced his name and intentions when he finally tracked Caedra down. An ancient tradition amongst warriors! It's considered rude to kill somebody without a formal declaration.