What more proof do you need?

From The Encyclopedia of Jewish Humor by Henry D. Spalding.

The German-Jewish philosopher Moses Mendelssohn, was an intimate friend of Frederick the Great.

Once, while strolling aimlessly on Unter den Linden, the chief thoroughfare of Berlin, the king met his learned friend. After saluting each other in an amiable fashion, the monarch asked his Jewish subject where he was going.

"I don't know," Mendelssohn replied quite truthfully.

The eyes of the mighty ruler flashed with quick anger. Friend or not, this man could not trifle with His Majesty. "I will ask you just once more," he growled ominously. "Where are you going?"

"I'm sorry, Your Highness, but I don't know."

The king at once ordered his guards to arrest the "insolent" man, but before the day was over he relented. He visited the eminent philosopher in his cell.

"Look here, Mendelssohn," he scolded, "what was the idea of trifling with your king in such a frivolous manner?"

"I didn't mean to trifle with you, Your Majesty," explained the scholar ruefully. "I really did not know where I was going. It certainly must be clear to you by this time. Earlier today I set out for a simple stroll and I landed in jail. What more proof do you need?"