Cloete is also noted for his belief in the legend of the Lost Nigger Gold Mine; he offered Lock Campbell, a Texan man, expenses of $10,000 if he would undertake an expedition to find it. On 19 July 1899, Campbell and four other men signed an agreement to search for it, and one of the men later claimed to have discovered it in the Ladrones Mountains in New Mexico, but this was never verified. He died in the Sinking of the RMS Lusitania on 7 May 1915, but his body was never identified.