Lead (one) (on) a (merry) chase phrase
To trick or mislead someone into pursuing something that has no result; to cause someone to spend their time engaging in purposeless activities.
After opening the treasure chest, I saw nothing inside. At this point, it came to me that John had been leading me on a merry chase.
When playing hide and seek, I tend not to follow anyone's instructions because I know they are just trying to me on a merry chase.
The verb "lead" must be conjugated according to its tense.
This phrase dates from the first half of 1500s.