Ghost dog

My wife just came back in the house after a "walk with Wally" to report that as she started to go around the cul-de-sac she looked back to see where he was, but he was nowhere to be seen. He wasn't on the leash. When she came back to the house to investigate, there he was sitting next to the front door where she surmises she had snapped the leash around air, not around the clip on his halter. Please, please, let my wife not be losing it. I need her!