That's the problem - the maxim only works in a fictional universe with a protagonist like Holmes who has an uncanny ability to deduce elements of the plot with perfect accuracy from details as minor as the angle of someone's shoulders or the way they tie their tie.

It doesn't work in the real world because it first requires perfect foreknowledge of all of the possible explanations for a phenomenon, as well as perfect confidence that the attempts to disprove all but one of those explanations were correct.

But, as demonstrated with Arthur Conan Doyle and the Cottingley faeries, there may be assumptions one is not willing to challenge (the literal existence of faeries themselves) and possibilities one may not have considered.