I had the same issue on 2005 sp4. You can check the following query.

I do have to mention the file group was default all files were removed. However there were primary keys and table objects for sysdiagarms existed in the file group.

select*

fromsys.filegroups as fg

join sys.indexes as i

on fg.data_space_id = i.data_space_id

wherefg.name = @file_group_name /** your file group name **/