I sort of had this happen once with a moth of all things. I noticed it in the house, tried to bring it outside, kept trying to come back in with me or perch itself on my finger if I managed to get it off of me for two seconds. Ended up sitting on the porch for a while with it chilling on me. "This is my life now I guess." I did finally end up getting it to land somewhere else so I could go in and shut the door before it might follow.
But then someone else came home, opened the door, and it flew back in. I gave up trying to get rid of it, let it stay in the same room as me, and then it fucking disappeared, never figured out where it might have gone. Probably died behind the furniture or something, I don't know.