Twitter Help? About direct messaging...?

[Arlandria]

I tweeted a famous person, Krist Novoselic..if it matters, and he replied. It
was a direct message, like, just for me to see. But..he isn't following me. I found that weird. To my understanding, they have to be following you to direct message with you. How did he do that?
Also, should I reply to him? (Yes. It's the real Krist. Verified and all..)
I asked him a question, and he answered. Here's what he said;
"never!! I am proud of Nirvana. Thank for following me Arlandira!!
- Krist"
I'm debating about if I should reply to that in any way, since it was a direct message. He responded fast, within 2 hours.
I'm not really asking about him in general, I'm just asking you how he contacted me through direct messaging. Does that mean anyone can contact me through direct messages? Should I lock my information or something?
Thanks.