Your Princess is in Another Castle

Similar to these aren't the droids you're looking for, Your Princess is in Another Castle is a phrase used to tell someone they're looking in the wrong place or otherwise barking up the wrong tree, often used sarcastically.

The phrase refers to a cutscene in the original Super Mario Bros. game which became a well-known gaming meme, seen at the end of every castle save for the final castle in World-8: A Toad would be waiting for you in the room immediately after the boss fight with Bowser and say, "Thank you, Mario! But our Princess is in another castle." This became increasingly frustrating, since, this being a classic Nintendo hard game, the difficulty spiked dramatically between each castle, and reaching the next one, let alone beating it, always required an even more ridiculous amount of skill.

Bob: Joe, have you seen Vanessa? She stole my car and my wallet this morning, after I brought her home from that party at your place last night.
Joe: Sorry, man, but your princess is in another castle. I haven't seen her since last night, either. I dunno what to tell you, except call the cops.