E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
Not at Home.
Scipio Nasica was intimate with the poet Ennius. One day, calling on the poet, the servant said, Ennius is not at home, but Nasica could see him plainly in the house. Well, he simply walked away without a word. A few days later Ennius returned the visit, and Nasica called out, Not at home. Ennius instantly recognised the voice, and remonstrated. You are a nice fellow (said Nasica); why, I believed your slave, and you wont believe me.
This tale is often attributed to Dean Swift but, if authentic, it was a borrowed mot.