In facebook stories, sometimes reply option is disabled y the owner of the story. SO in that case you cannot give any comment to that story. For other case i.e. reply option enabled, you need to go firstly to the stories. Go to the stories section of facebook as shown in below image.
Choose the story you want to pass a comment and open it. For example i choose this story as shown in below image.
At the bottom of the story, reply option is available. Click on the Reply box and enter your comment.
Finally, your comment will be sent to them in their personal messages. Nobody can see your comment because it is private.