Just copied and pasted from Snopes, a favourite story
Author Truman Capote told a story about a blind date a friend of his once had. When the friend arrived, his date wasn't ready and invited him to wait in the living room while she finished dressing. She had a Great Dane, and the man amused himself while he waited by tossing a ball to the dog and waiting for him to retrieve it. By accident, he threw the ball out the window, and he dog went after it — all 18 floors. When his date came back into the living room, the man never said a word about what had happened — he couldn't think of anything to say.

After Capote told this story, comedienne Elaine May suggested what he might have said. "During dinner," Elaine volunteered, "he could have looked at his date and said, "You know, your dog seemed very depressed to me . . ."
(Troutbiscuits, Fri 16 Oct 2009, 10:53, Reply)