https://en.wikipedia.org/wiki/Fenn_treasure
Fenn hasn't been out in the Rocky Mountains, north of Santa Fe, to check on the chest since he hid it, but he knows it's still there.
My guess is that the prize is not inside, but with Fenn; which explains why he checks to see if someone has found it and requests they provide proof of what is inside.
Fenn has more clues posted here: http://www.oldsantafetradingco.com/the-thrill-resource-page