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You know the situation. The players reflexively ask to search for hidden doors. Maybe you have them roll maybe you don't. You keep telling them "Nope, no hidden doors here." There never were. You don't want to spend all that time looking for things that don't exist. But the minute you actually take their question seriously, they know there's a secret door (or a trap or a space whale) somewhere, even if they have a poor chance of finding it.

So how do you deal with the challenge that's not there? How do you keep it from giving away the hidden challenge you have set up? How do you keep the players unaware of whether they're actually being challenged?

If they ask for it there is something hidden. A bottle of whisky in a book. A loveletter behind a cabinet... it will be nothing realy important but the players will be happy they succeded searching for hidden stuff.

Give them something, no matter what; it doesn't have to be in the form they were looking for. "You don't find any secret doors, but I can tell you something about this room that you've noticed..."

That's my take, anyhow. Give them something to go with "you're very certain that there's no secret doors here". After all, they're bound to notice a number of other details as they search.

I think that part of it also has to do with having dynamic, engaging characters. If your players can find secrets and learn as much about the setting or the NPC's as they do about the dangers around them, they'll have a good time, just as Anastylos suggested.