See St. Thomas Aquinas answer to the question "Whether separated souls know that takes place on earth?" (Summa Theologica I q. 89 a. 8), who writes that St. Gregory the Great's opinion "seems to be the more probable one", namely
that the souls of the blessed who see God do know all that passes here [on earth]. For they are equal to the angels, of whom Augustine says that they know what happens among those living on earth.
Viz., since the angels know what happens on earth, and the souls who behold the beatific vision are like angels, then it seems that those souls also know what happens on earth, which would include intercessory prayers.