I've had this happen too; and yes it's a tad frustrating. Do you have another Facebook page you manage? If so, it could be from that. That was what caused my notification to not go away. After logging in to the other page I manage I saw the notification and was able to clear it. You may have to log into Facebook from a web browser to see what's going on.This icon keeps popping up constantly and randomly. When I tap it it takes me to Facebook Messenger and there's nothing new there. Any ideas why it pops up or how to kill it? I disabled badges but this still shows up in the app.
https://s9.postimg.org/ygrxhyb3z/Icon_From_Hell.jpg
There is one message unread. Open messenger search and scroll for the unread message and mark it read.
The OP said there was nothing there when he clicks on it.Also, if you have recently accepted a friend request, you must accept their ability to communicate through messenger.