Hamlet

No, you're not going to take instructions from what can very likely be a fiend from hell in disguise. It's tenacious, you'll grant it that, and it thinks it can take advantage of your grief-stricken state. But you're not that gullible.

"My lord!" Horatio and the guards yell, having finally caught up. "What happened?"

"Nothing of importance," you wave negligently, "Just an illusion, is all. It didn't even say a word."

They nod. You bid them goodnight, and you go your separate ways.