The word comes from Old French *demeine*, and there never was an *s* (so, the original *s* was in their heads). The word is first attested in "English" (French-English legal code-switching) without <s>, and with various spellings. The non-etymological *s* is the only *s* in the word *demesne*. 

There are a number of words in French that used to have *s*, which was deleted, and it appears that orthographic <s> was added in these words to indicate that the vowel is long (and, I suppose, that the word is French).