Jessie had a bag of joints (or whatever they were) in the plastic baggy with him, lighting them up in Saul's office. Upon leaving, he brushed up against Huell. While waiting at the pick-up, Jessie intended on light up again, but discovered the drugs were missing. Looking at the cigarette box (not sure if Huell exchanges the cigarettes for the joints or if Jessie had the cigarettes on him the whole time, but nonetheless)....He puts two and two together, realizing not only was he pick-pocketed this time, but he was pick-pocketed BEFORE with the ricin cigarette (but never realized it then.) He runs with that notion and Saul's confession confirms his suspicion.
Now, Jessie probably thinks it was indeed Walt who poisoned Brock, even though ricin wasn't used on him, but still he knows now that Walt was full of it because the cigarette in the Roomba routine was all a show.