It took me an embarrassingly long time to realize that it was a joke when people said "It's always the last place you look." Like well into my teens. But ever since I figured it out, I always look at least one more place after finding something.
But if you are organized, you'll start with the most likely place and progress to increasingly less likely places. When you find it, there's no surprise, and no one gets much of a chuckle over your efforts.
If you don't understand the problem space, then saying "That's the last place I would have looked!" is an expression of exasperation about your lack of knowledge.
I always assumed it was kind of a 'life's a bitch' aphorism