To find a mare's nest is to make what you suppose to be a great discovery, but which turns out to be all moonshine.
Why dost thou laugh? What mare's nest hast thou found?
Beaumont and Fletcher: Bonduca, v. 2.
“Are we to believe that the governor, executive council, the officers, and merchants have been finding mare's nests only?” —The Times.
N.B. In some parts of Scotland they use instead a skate's nest. In Gloucestershire a long-winded tale is called a Horse-nest. In Cornwall they say You have found a wee's nest, and are laughing over the eggs. In Devon, nonsense is called a blind mare's nest. Holinshed calls a gallows a foul's nest (iii.). In French the corresponding phrase is “Nid de lapin; Nid d'une souris dans Voreille d'un chat. ” (See Chat.)
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894