I don't have a photograph. I'd give you my footprints, but they're upstairs in my socks.

From at least as early as 1977 (e.g. "Comedy's King Leer," Newsweek, 29 Aug 1977, p. 44), this has frequently been characterized as a real-life response given by Marx himself to enquiring reporters; in fact, it's a slight variation on this scripted passage—"Why ... I haven't got one. I could give you my footprints, but they're upstairs in my socks."—from A Day at the Races (1937), as found in A Day at the Races : Screenplay by Robert Pirosh, George Seaton and George Oppenheimer (1972), p. 29