Jake - my Border Collie (the chasing one) has done this once or twice - I think there's money to made in a tennis ball that whistles or something. I know it's mean, but it is quite funny to watch them run around like headless chooks trying to find the ball, though.
yeah I knwo what you mean it is funny AND good exercise it means I do a lot less picking up slobbery wet balls and she just runs from paddock to paddock with her nose on the ground trying to find it. When she comes back without it I say "find it, quickly, off you go" and she goes off again