If I didn't share the area my office is in with other people, I would put a big sign on my door saying "The person you're looking for is probably next door".
It usually happens at least once or twice a week. Someone will poke their head in my door with a lost look on their face and say they're looking for so-and-so. I tell them they're next door and off they go. Now, if these people would just read the signs on the doors, it should be pretty clear that the person they're looking for is next door and not here. Nobody seems to ever do that though.
Sometimes I tell them "Next door" before they even say anything. I can do this because hardly anyone ever comes to my office, so anybody who pokes their head in my door is almost always looking for someone else.