I did exactly that, in my one serious attempt at getting a FTF.
There had been no DNF's posted on the cache page, indicating to me that no one had gone looking for it. When we got to the supposed cache location, it was obvious by the trampled grass that there had been an extensive search for the cache.
We spent an hour looking for the cache, at all the "obvious" hiding places, decrypting the clue, then extending our search perimeters. Phhhtt...at least we got to see lots of deer.
I dutifully logged the DNF, believing that we had to be completely clueless. Then another team logged their DNF. They had visited the location soon after we had left.
The cache owner didn't contact us, or post a note on the cache page to let us know that the cache hadn't been placed yet.
I believe it was a week or so later that the cache was "found" finally. And the Found It log said something like "easy find, don't see what the problem is in finding it".
The other team that DNF'ed the same day went back and found it later, then confirmed to me by email that we had been looking in the correct spot.
We have no intention of going back, could care less about having the DNF stay in our stats.
If that happens again, I won't post it as a DNF, but rather as a Note....let the folks know that I suspect (correctly in this case) that the cache hasn't been placed yet.
If we make no attempt whatsoever to find the cache, I don't log it as DNF or even post a note. Only when we make a "serious" attempt to find it, do I post the results on the cache page, whether it's a DNF or a note.