See for yourself.
Step 1: Construct a navy which can easily defeat an AI navy.
Step 2: Right-click seazone AI navy is in from at least two seazones away.
Observe: AI navy begins retreating when your navy starts to enter an adjacent seazone.
Step 3: Right-click the seazone NEXT TO AI navy's seazone from at least two seazones away.
Observe: AI navy does NOT begin retreating when your navy starts to enter an adjacent seazone; begins retreating once your navy has fully moved into adjacent zone.
Conclusion: The AI knows the final destination of your fleets and reacts using this information.
Step 1: Construct a navy which can easily defeat an AI navy.
Step 2: Right-click seazone AI navy is in from at least two seazones away.
Observe: AI navy begins retreating when your navy starts to enter an adjacent seazone.
Step 3: Right-click the seazone NEXT TO AI navy's seazone from at least two seazones away.
Observe: AI navy does NOT begin retreating when your navy starts to enter an adjacent seazone; begins retreating once your navy has fully moved into adjacent zone.
Conclusion: The AI knows the final destination of your fleets and reacts using this information.