I was watching Dragon Ball Z for the third time. When Vegeta after losing against Goku and others, comes back to Frieza's head quarters and recovers. There he comes to know that Frieza has already left to Namek, presumably to search for the dragon ballz. How did he come to know about them? Did I miss any episode or side story here or are we left to guess about it?
As per the dragon ball z wiki:
Vegeta, after being seriously injured in his fight with Goku and the others, returns to Planet Frieza 79 to regenerate himself using a special Medical Machine. After fully recovering, Vegeta feels stronger than ever, as Saiyans have the unusual ability to reach higher power levels after healing from near death experiences. His self-proclaimed rival, Cui, informs Vegeta that his former boss, Frieza, was initially angry at Vegeta going to Earth and violating orders but decided to forgive him when he overheard the conversation between him and Nappa about the Dragon Balls on Namek (scouters also served as a transmitter, which Frieza used to overhear their conversation). Furious about the consequences of Frieza being immortal, Vegeta rushes to Namek himself, now openly declaring himself an enemy of Frieza.
More notably this segment:
Frieza, was initially angry at Vegeta going to Earth and violating orders but decided to forgive him when he overheard the conversation between him and Nappa about the Dragon Balls on Namek
So due to Nappa's negligence and Vegeta's ego Freeza got knowledge of the dragon balls.
You can read this here: http://dragonball.wikia.com/wiki/Namek_Saga