Suppose if you have a incoming frequency signal of some frequency say 2.5GHz, won't this frequency hit the FM antenna too? Or the FM antenna ignores or it doesn't get hit by this frequency?
First things first. Don't confuse the type of transmission, FM, AM, GPS, WiFi etc. with the frequency. They are all types of modulation. Modulation is how you change the amplitude, frequency or phase to carry information, whether, data voice, video or music.
All kinds of modulation can be used at all radio frequencies, it just doesn't make sense to use some combinations or they would be inconvenient to implement. For example, a mobile phone that needed a kilometer long antenna wouldn't be very popular!
Antennas are devices for converting electromagnetic waves to electrical signals. They work best when the length of the EM wave fits nicely along the length of the antenna but that doesn't mean they only work at one particular wavelength. Wavelength is exactly that, the distance between one peak of the EM wave and the next peak, it is the reciprocal of frequency (wavelength = 1/frequency).
Although they work best at one frequency, as you move away from the optimal length the performance only gradually decreases. This means that if you want to get best results in the 88 - 108MHz band you would pick a length that was best for somewhere in the middle. It would work best at that frequency but at the band edges it would still work quite well.
You are right that all antennas pick up all frequencies, what comes out at the end is a jumble of everything they can 'hear'. It is up to the electronics in the receiver to filter out everything except the frequency you are interested in. Obviously, you try to choose an antenna that works well over the range of frequencies you are interested in receiving.
Brian.