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I have a Dual-Band N (2.4 & 5 GHz) router (Linksys E3000). My mac and other computers in my house connect to the 5 GHz and my iPhone (4S) connects to the 2.4 (because it cannot connect to a 5 GHz network).

I have an Airport Express (with speakers connected) that is connected to the 2.4 GHz network so that I can play songs from my iPhone. I thought that I will not be able to play songs from iTunes on my Mac. To my surprise iTunes is able to discover the speakers on the Airport even though the mac is not connected to the 2.4Ghz network at all. (Confirmed this from iTunes on a PC as well)

Does iTunes establish its own connection? Is there any other trick involved?

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I'm confused. First you say, "My mac and other computers in my house connect to the 5 GHz," then you say, "even though the mac is not connected to the network at all." Which is it? Is it connected wirelessly or not? –  Everett Dec 12 '12 at 0:52
    
The Mac and other computers are connected to the 5Ghz. The iPhone and Airport Express is connected to the 2.4 GHz. Will edit to make it clear. –  Nivas Dec 12 '12 at 0:57
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Two things to consider. First, the fact that you are using two different frequencies is only relevant if you have configured networking in such a way that 2.4GHz is one network, and 5GHz is another network. Otherwise the fact that you are using two different frequencies is like having a cable connection and a WiFi connection. Cabled and wireless networks can still see each other if they are in the same LOGICAL network.

Second, iTunes uses Bonjour (as does the speaker function on the AirPort Express). The only time you will run into these devices not being able to see each other is if they are on a separate logical network (VLAN, VPN, routed, etc...). JUST being on two different frequencies in WiFi does NOT put them on a separate logical network.

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Can Bonjour work across networks? Meaning that iTunes searches for all airport expresses around? I find it odd because the airport express is explicitly connected to one network and the Airport Express is explicitly connected to another. Also, I think I have two different networks, at least thats what he manual of the router says: the Router can create two simultaneous yet separate Wireless-N networks, one using the Wireless-N 5 GHz band and one using the Wireless-N 2 .4 GHz band. –  Nivas Dec 12 '12 at 1:17
    
The manual says you CAN do it, but did YOU do it? Or, is everything set to the same network? As I stated, using two different frequencies does NOT mean they are on two different networks. Since it's a private network I'm not too worried about asking the IP addresses of the devices. Whats the IP address of the Mac and your iPhone when they are using the wireless connection? Also what is the subnet mask of each? This will prove if they are in the same logical network. –  Everett Dec 12 '12 at 1:20
    
You are correct. I think it is just a single network on two wireless frequencies. I just checked the DHCP table and all my devices are listed. in the same IP range (192.168.1.*) –  Nivas Dec 12 '12 at 1:38
    
There you go, everything is on the same network. This is functioning as expected. –  Everett Dec 12 '12 at 1:48
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