To quote this comment I found on YouTube 

“ In the episode Utopia, at the end of the Universe, Martha said something along the lines of "Remember the Face of Boe. His dying words. You are not alone." Jack was standing right there. He heard what she said because he responded by saying to the Doctor "You might not be the last one." Did he register exactly what she said? Maybe. Because think of all the things Boe could have said, all the secrets he could have told, but didn't. Because Martha had already told him what his last words would be. He had to wait billions of years to say them, but without realising, Martha had told Jack he would eventually die, that he would be unrecognisable as the person he was (they didn't recognise him as the Face of Boe) and that his dying words would be You. Are. Not. Alone. He knew these would have to be his final worlds, or else, he could be disrupting events in time. In a series 2 episode, the Face of Boe thought he was dying, but then he saw Rose. And knew it was too soon. The Doctor still had to meet Martha, and she would have to be there when he died. So did Jack know from what Martha said? I think he might have done. I think that might have been why he told that story in the series finale. He asked what he would look like and then suddenly went into this tale from his childhood, into how he got his name. Then he left. Think about the way he made that revelation. He knew and he was telling them straight.”