There is a common misconception that a player may declare their ball lost, either to indicate that they intend to play out the hole with another ball played provisionally, or that they are going back to the place that they made their last stroke from, under penalty of stroke and distance.

Please believe me when I say that nothing a player says will render their ball lost. Decision 27/6 from the Rules of Golf helps to clarify this statement;

Q. A player searched for his ball for two minutes, declared it lost and started back to play another ball at the spot from which the original ball was played. Before he put another ball into play, his original ball was found within the five-minute period allowed for search. What is the ruling?

A. A player cannot render a ball lost by a declaration — see Definition of "Lost Ball." The original ball remained in play — see Definition of "Ball in Play."

The definition of ‘Lost Ball’ lists the only circumstances under which a ball can be lost;

A ball is deemed "lost" if:
    a. It is not found or identified as his by the player within five minutes after the player's side or his or their caddies have begun to search for it; or
    b. The player has made a stroke at a provisional ball from the place where the original ball is likely to be or from a point nearer the hole than that place (see Rule 27-2b); or
    c. The player has put another ball into play under penalty of stroke and distance (see Rule 27-1a); or
    d. The player has put another ball into play because it is known or virtually certain that the ball, which has not been found, has been moved by an outside agency (see Rule 18-1), is in an obstruction (see Rule 24-3), is in an abnormal ground condition (see Rule 25-1c) or is in a water hazard (see Rule 26-1); or
    e. The player has made a stroke at a substituted ball.
Time spent in playing a wrong ball is not counted in the five-minute period allowed for search.

Of course, the correct thing to do if you definitely do not want to search for your original ball is to put another ball into play as quickly as possible, without declaring it as a provisional ball. Remember that on the teeing ground you have to wait until all the players in the group have played before you play your second ball from the tee. Once you have made a stroke at another ball, under penalty of stroke and distance, it does not matter if your original ball is then found, as it is no longer the ball in play.

Supposing a player hits his ball into an area of dense undergrowth from which he would rather not play his next stroke. But before he has a chance to put another ball into play a spectator shouts out that he has found a ball in the area which the original ball was heading. Can the player refuse to identify the ball and put another ball in play, thus rendering the original ball lost? Decision 27/13 states a fellow competitor, or opponent, has the right to be satisfied about the identification of a player’s ball. So, if a player purposely refuses to identify his ball before putting another ball into play the Committee would be justified in imposing a penalty of disqualification under Rule 33-7.

I hope that this has clarified my earlier statement that nothing a player says can render a ball lost under the Rules of Golf.