The riddle
What Has Four Letters, Sometimes Nine, but Never Five?
Count the question
The riddle describes itself. "What" has four letters, W-H-A-T. "Sometimes" has nine: S-O-M-E-T-I-M-E-S. "Never" has five: N-E-V-E-R. The answer is the very words that carry the numbers, so nothing needs to be found in the room or in the world.
Why listeners miss it
People hunt for an object or a quantity, and the question gives them numbers to hold on to. The word "never" even announces the answer: it says "never five" and then has five letters. The clue is the grammar of the question, not its subject.
A trap in the number words
Counting the number words themselves leads nowhere. "Four", "five" and "nine" all have four letters, so a listener who counts them gets the same count each time and keeps looking in the wrong place.
Writing one of your own
The recipe is short. Pick three words from a sentence, count their letters and build a question around those counts. Keeping one of them in a negative, as "never" does here, makes the answer feel more like a surprise.
A neighbor in the same style
The page on the word spelled wrong in the dictionary uses the same self-reference: the answer sits inside the question.