I've been involved in the hunt for two caches lately where I asked that same question... was it hidden too well?
The first one is GC1AP35. My in-laws have taken up caching after going with us several times, and they're usually pretty good at finding stuff. They had looked for this one a couple of weeks before we all tried it together, and couldn't find stage 1. When we found stage 1, they said they'd looked in that same place and it wasn't there (it was laying out in the open when we found it). In between searches, the owner posted a verification that stage 1 was still there. Stage 2 has a hint, and between the hint, 4 pairs of cachers and 4 kids (everyone knows the kids are much better at it than adults!) and about an hour of searching we came up empty handed. This is a two star difficulty. I posted a DNF with the story, and no one has looked for it since. With all those people and all that time, I strongly suspect stage 2 is missing, or else buried - literally. It had a lot of finds in the beginning, and no one said stage 2 was difficult.
The other one is GC154R5. I haven't logged a DNF on it yet because I'm not sure quite what to say. From the description and difficulty rating, it should be pretty much a park and grab. Between 4 of us and about 45 minutes of searching we came up with nothing. We combed every inch of that LP. The base is not a standard skirt-lifter. It has screws that have to be removed, which obviously have been removed several times before. We took it completely apart (yes, we put it back together), and came up empty handed. We also had a police officer drive by while we were standing there with the thing all taken apart. He slammed on his brakes and put his car in reverse like he was going to come back to see what we were doing, then took off in the original direction he was heading. I don't know if he had a call, or what, but I wasn't sure how much he'd like our explanation.
It's pretty rare for us to have a DNF. I'm obsessive - I'll keep working on it until I come up with it. There's some things I avoid, like nanos in the woods, for example, because I don't like looking for a needle in a haystack. I prefer something like a fake water faucet that is in a place where it looks and feels real. That's the kind of difficulty I like. I mostly prefer walks in the woods though - the best part of geocaching is the new scenery, and how many things/places we've found that we never knew existed.