I'm playing Skyrim now and the thought that the foxes would lead me to treasure has indeed popped into my mind. I followed one for a while but it didn't lead me anywhere notable.

Most animals either do a really good job of running away from you (rabbits, deer), or attack you (lions, walruses). Foxes just look at you and slowly walk into a certain direction when you get close to them, as if they're trying to show you something.

In general also, from watching YouTube videos of rescue foxes, they seem like super playful and might be the kind of animals leading you to treasure just for the fun of it.