Yes, you can reply to a Facebook comment with private message (PM). When viewing a comment in the INBOX, you have the ability to reply with a comment (the "standard" way) or you can send user a message - you just need to select Reply in PM option:
Note: that you can reply to given comment in private once only - as soon as you have sent PM as a reply to a comment, it is not possible to sent another one. You can still reply the "standard" way, of course. Also, you can reply privately to a comment up to 7 days since when you received the comment - after 7 days this won't be possible (Facebook policy).