Yes, you do have many subscribed threads in fact.
But what you probably see in your user cp when you go to look is this:
"New Subscribed Threads: (0)
There are no subscribed threads to display in this folder for this time period."
That just means your subscribed threads have not gotten recent activity.
However, below that is a link that says "
View all Subscribed Threads". Click that and you'll see the list. Then you can unsubscribe from them or change your notification settings, etc, by clicking the box next to each thread and selecting the option you want in the dropdown below them.
Does this perhaps solve the mystery?