You still have to go out of your way to do something the system doesn't automatically allow you to do. e.g. there is no way in the user interface to unfollow someone you are not following, you have to actually type that address in manually or have it bookmarked for some odd reason.
Although not significant, it's extra code, extra phrases and extra queries required to ascertain something that, realistically, the end user knows full well already. I'd be interested to hear if there is a genuine real life situation where a user could stumble upon this and it cause them genuine confusion.
User with slow internet connection opens the unfollow link in new tab , clicks on unfollow but due to his/her slow internet it takes some time to get a response so user stops the page and refreshes it again and so keeps doing it because there is no confirmation or a error saying "You are not following user X".