Aunt Jane's Nieces at Millville by L. Frank Baum

Louise and Beth returned to the farm in dismal silence. Every prop had been knocked from beneath their carefully erected temple of mystery. Now there was no mystery at all.

In a few words, Joe Wegg had explained everything, and explained all so simply and naturally that Louise felt like sobbing with the bitterness of a child deprived of its pet plaything. The band of self-constituted girl detectives had been "put out of business," as Patsy said, because the plain fact had developed that there was nothing to detect, and never had been. There had been no murder, no robbery, no flight or hiding on the part of the Weggs to escape an injured enemy; nothing even mysterious, in the light of the story they had just heard. It was dreadfully humiliating and thoroughly disheartening, after all their earnest endeavor to investigate a crime that had never been committed.