How do I send a privatemsg to all users that have flagged a node using Rules? I am using the Privatemsg module, Flag module and Rules module. 

I wonder if using Rules I could send a private message to all the people who have flagged a specific node when a new comment is posted.

Thus, the flag would act like a subscription for new comments notification.
Create a new rule triggered on After saving a new comment`.
No conditions necessary; set them up only if you require something specific.
Actions:

Fetch users who have flagged a node
Loop through those users (argument will be populated automatically)
Under that loop create a new action "Send a message". This will require you to have "Privatemsg Rules Integrations" module enabled.