I used the clear all unreads shortcut (shift + esc) and it doesn’t go away…
Edit: For anyone having this problem, I’m using GNOME desktop environment and clearing the notifications on the shell removes the bubble on the app icon. Thanks to @EmasXP for the hint.
Facebook does that to me, I have go to a desktop to clean the red marks even though I read and responded to the message
I swear Facebook does it on purpose in an attempt to drive engagement.