Shaney, I think is right with serendipity. It was Walpole who once said," Serendipity is looking for a needle in a haystack, and finding the farmer,s daughter!"
serendipity as Shaneystar says is finding nice things by accident. Is that what you mean? I'm not sure about how you find something that isn't there. Wasting your time looking for something that isn't there is a wild goose chase as tonyted says - or maybe a mare's nest, which also doesn't exist.