It is very difficult to find a black cat in a dark room, especially if the cat is not there.

— Confucius, allegedly (quoted in The Meeting Place Cannot Be Changed)

Edit: The rationality relevance might need some explanation. The way I've seen this aphorism used is this: it's sometimes hard to distinguish between a task that's achievable but very difficult (and that it therefore might make sense to spend time/effort on), and a task that is impossible (and thus is a complete waste of time/effort).

If you spend some time searching for the cat in the dark room, you might not find it. Is that because finding it is difficult (after all, this is what you might quite plausibly expect, if you assume that the cat is there), or because the cat is not there and you're wasting your time?