How is it possible? May be, he is online as hidden/invisible mode In this case, he won't show up at the bottom of the forum page but the online button will show up in his profile.
No, there is no bug. Even you can log in as a hidden member. Go to your profile > preferences > Hide your online status : "Yes". The same will happen with you.
You won't be displayed in the "Who is online" but the online image will be there in your profile and posts.
this will allow you and your mods to see any hidden users that are online but regular members will not be able too. admin panel>general>security select allow moderators to see hidden users ans hit save.
The only other thing you can do is to set the hidden user function in there profile form the acp.
admin panel>search users name >click on there name>then select no for(Hide your online status) and hit save