E. Cobham Brewer 18101897. Dictionary of Phrase and Fable. 1898.
A conventional lie, such as telling a caller that Mrs. A. or
Mrs. B. is not at home, meaning not at home to that particular
caller. It is said that Dean Swift called on a friend, and was
told by Jeames that master is not at home. After a time this
very friend called on the dean, and Swift, opening the window,
shouted, Not at home. When the friend expostulated, Swift said,
I believed your footman when he said his master was not at home;
surely you can believe the master himself when he tells you he
is not at home.