Ooops! My bad....
It wasn’t an Asimov story, but a Ray Bradbury story.
_______________________________________________
“The Man” by Ray Bradbury
“The Man” is a simple parable involving a prophet who travels from planet to planet; his best-known appearance was on Earth roughly 2,000 years ago. The Man doesn’t appear in the story himself—instead, it’s the story of Hart, a rocket ship captain who lands on an alien world shortly after the prophet’s departure. Hart’s initial incredulity about the Man soon turns into a violent obsession, and he threatens the quaint alien villagers with violence if they do not help him locate the prophet. Hart’s tragedy is that he thinks of God as a destination, something to be found elsewhere. He doesn’t realize that wherever the Man visits, he never truly leaves:
“And he’ll go on, planet after planet, seeking and seeking, and always and always he will be an hour late, or a half hour late, or ten minutes late, or a minute late... And he will go on and on, thinking to find that very thing which he left behind here, on this planet.”
There is one other in this vein that I love that isn't an Asimov story...but it feels like it should be. "The Nine Billion Names of God" by Arthur C. Clarke. A really good short story with an unexpected twist at the end.