The episode "Terms of Endearment" is the one where a demon keeps impregnating women in hopes to find an offspring that is not deformed.

While Mulder is on his cell phone with Scully the screen shows a baby monitor that is on, followed by the demon (the husband) listening in on the conversation in the other room. While he is listening to what Mulder is saying, you can also hear Scullys side of the conversation just as clear.

Now how is it the demon can hear both sides of the phone conversation through a baby monitor?