Albert Barnes on Matthew 24:26

Behold, he is in the desert. The Jews had formed the expectation that the Messiah would appear suddenly, from some unexpected quarter. Hence many would be looking to the desert places, expecting that he would come from them. Accordingly, most of the impostors and pretended prophets led their people into the deserts.

Go not forth. Do not follow them. They will only deceive you.

In the secret chambers. Concealed in some house, or some retired part of the city. Many would, doubtless, pretend that the Messiah was concealed there; and, either for the purpose of encouraging or deceiving the people, would pretend that they had discovered him.