Thermostats can leech small amounts of current from the other 4 wires in the absence of a C wire (depending on the furnace), usually enough to operate on.

They do this by inserting a resistive load across the "fan relay" wiring, such that it doesn't supply enough current to actually turn on the furnace fan, but still causes enough current to flow to power the thermostat.

I didn't do this for my own setup -- adding a C wire was simple enough and easier for a non hardware geek (me) to figure out.

Cheers