Is this an older house that may have had renovations? If so, it's possible the bathroom was totally reconfigured and the duct wasn't disconnected/capped. Are there any other vents in the bathroom?
A little investigation in the basement looking at the ductwork may yield some answers. There's no good reason to be pumping conditioned air into a sealed wall space, that for sure.
One other thing- if this is a 2 story house it may have been a duct to supply the 2nd floor.
Take some pics and post 'em if you can