It really isn't strange at all.  Associations between classes represent the concept that an instance of at least one of the classes "knows" about one or more instances of the other class.  An Order "knows" which Order Lines it contains.  Depending on your business requirements, the Order Lines may also know which Order they are part of.  Stateless classes don't have this type of knowledge which is usually demonstrated through having an attribute to contain the knowledge.

Instead, your stateless classes have knowledge of other classes through its operations.  This can happen in two ways.  Operations in your class instance can send class methods to other classes, in which case there is no other instance to have knowledge of; or your class instance can be given knowledge of instances of other classes through parameters (including method returns) that are sent to it.  In either case, it doesn't maintain this knowledge.  These relationships are classified as dependencies.  

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