Came across this one via Fallout 3, apparently known as The Moon Cannot Be Stolen:
Ryokan, a Zen master, lived the simplest kind of life in a little hut at the foot of a mountain. One evening a thief visited the hut only to discover there was nothing to steal. Ryokan returned and caught him. “You have come a long way to visit me,” he told the prowler, “and you should not return empty-handed. Please take my clothes as a gift.” The thief was bewildered. He took the clothes and slunk away. Ryokan sat naked, watching the moon. “Poor fellow,” he mused, “I wish I could have given him this beautiful moon."