There's a significant body of evidence for this claim. Eg:
an analysis of a first draft of the Neanderthal genome by the same team released in May 2010 indicates interbreeding may have occurred.1,2
Those of us who live outside Africa carry a little Neanderthal DNA in
us," said Pääbo, who led the study. "The proportion of
Neanderthal-inherited genetic material is about 1 to 4 percent. It is
a small but very real proportion of ancestry in non-Africans today,"
says Dr. David Reich of Harvard Medical School, who worked on the
study. This research compared the genome of the Neanderthals to five
modern humans from China, France, sub-Saharan Africa, and Papua New
Guinea. The finding is that about 1 to 4 percent of the genes of the
non-Africans came from Neanderthals, compared to the baseline defined
by the two Africans 2.
There is similar evidence of interbreeding with hominins other than Neanderthal too.