It have happened me twice.
I was at a bookstore that arranged a Japan day complete with a cosplay competition, so I was wearing my Riku cosplay at the time. I was busy browsing the fantasy section when this girl shyly comes up to me and asks if it's my real hair. I just laughed and said no and that my hair probably would have died if I had bleached it so much it had gone white.
The other time was during a con and we were stuck waiting to get down the escalators after the ending ceremony, and suddenly I felt something tugging at my long blonde wig. I turned around and asked the girls behind me if it was fun pulling at my wig and one of them blurted out "Wig!? We thought it was your real hair!"
"Never steal a Square Enix boy's hair gel, people will get hurt!"