When we Must not Believe our Eyes by Frank R. Stockton

There are a great number of marvellous things told us of phantom forms and ghostly apparitions -- of spectres that flit about lonely roads on moonlight nights, or haunt peaceful people in their own homes; of funeral processions, with long trains of mourners, watched from a distance, but which, on nearer approach, melt into a line of mist; of wild witch-dances in deserted houses, and balls of fire bounding out of doors and windows -- stories which cause the flesh of children to creep upon their bones, and make cowards of them where there is no reason for fear. For you may lay it down as a fact, established beyond dispute, that not one of these things is a _reality_. The person who tells these marvels has always what seems the best of reasons for his belief. He either saw these things himself or knew somebody, strictly truthful, who had seen them. He did not know, what I am going to prove to you, that a thing may be _true_ and yet not be _real_.

In other words, that there are times when we do actually see marvels that seem supernatural, but that, on such occasions, _we must not believe our own eyes_, but search for a natural cause, and, if we look faithfully, we are sure to find one.