I've never understood that saying because you're hardly going to carry on looking once you've found them so yes they would be in the last place you look
Many years ago, having searched high and low in the house for an hour or so I gave up and sat down resigned to missing my appointment. At which point the CAT got up of the bed and strolled over, revealing the rather warm and cat-haired keys that she had been sitting on throughout my increasingly frenzied attempts to find them.