Earlier in the week Matt 'Positron' Miller of City of Heroes fame posted to his blog about the dangers in meet and greets for an MMO. The problem he says is that sometimes Marketing doesn't want a full reveal on what is going on, and restricts you to just a teaser. This teaser however is subject to interpretation, and sometimes your fans go off in completely the wrong direction, leading to disappointment down the line when the truth is not able to live up to the fantasies their expectations created. An unavoidable fact, but one that is there. You can also run into this in your RPGs, where players will take little bits of your plot and put things together in a way that is just completely ridiculous and out there. This, however, is not necessarily a bad thing.
To be perfectly honest with you, one of my favorite things to do at the end of a session where clues were given out is to sit back, look the players in the eyes, and ask them, "So, what do you think is going on?" The response I get back is usually, well, remarkable. Sometimes they are so far off base that I almost double take and have to ask how they possibly got there. Sometimes they're pretty close, and I just have to make slight adjustments to future scene ideas to help lead them along to where they need to be. Either way though, the experience is amusing and rewarding. The real trick to making it rewarding though is to listen. Listen to what your players think is going on, and listen to why they think that is going on.
See, as the creator of the story you have all the pieces. Putting the string through the loops in order is easy, because you know the order, you made the string, and you laid out the whole puzzle. There really isn't much out there that is easier than solving a puzzle once you already know how to solve it. However, your players don't have that luxury. What they have is the information that you presented, but further filtered by how you presented it, and even more so by how they received it. That is two places where it could have been bungled up a little bit in their heads. Now, add to that that there is often a week or two between sessions, this is even more chance for things to get messed up. Memory is not perfect, and even the most attentive player may lose track of a niggling little detail over a busy week between game sessions.
All these places where things can get jumbled can greatly change the narrative, but that isn't necessarily a bad thing. See, your players are creative people too, and the string of events they come up with might even be better than yours, or could convey the same thing in a more interesting way. See, I'm not ashamed to admit it, but I have done this. "What's going on?" I ask, and the player gives me a version of what could be going on that just strikes me as so much more awesome than what I have. Stringing all the stuff together, combined with some speculation on what will/could happen, and ways it could tie into backstory elements that the player is excited about. I mean, the player just did all the work needed for me, so why not take it? I don't mean take the whole thing, but the gist of it. Tweak things to put them closer to that awesome idea your player has. Everyone gets a better story, you have a little less work, and that player gets to feel smart for seeing through it. Win, Win, Win. Not many situations do that.
On the other hand, it could just be that your players are really far off base with their speculation, but not in a good way. In this case, what you need to do is find a way to bring them back to the main thread. Don't tell them OOC - unless they have blatantly misremembered a big clue - but bring them back with IC implications. Listen to where they are, and then guide them back from there to where you want them. Thing is though, you can't do that if you don't listen to the speculation that the players have.
So, embrace it, and every couple of sessions ask your players what they think is going on. Even an 'I don't know' can be helpful, but odds are you'll get a good grasp as to how your players are picking up and interpreting the clues that you are putting down.