I have read this rumour on many occasions too. So I ran my own very clumsy experiment. I talked about gnomes. Yes you read that right, gnomes.
I spend three days talking to my partner about gnomes whilst my phone was beside me. It is worth mentioning I let her in on the game. Otherwise, I was scared she would have me committed.
Sure enough, the next day adverts for garden gnomes appeared on my feed. Argue your way out of that Mr Zuckerberg.