I'm currently reading The Groucho Letters: Letters From and To Groucho Marx. In a letter to Arthur Sheekman dated June 23 1941, Groucho writes:
The Bucks County Playhouse wired and asked me if I would play "Sherlock Holmes" (the William Gillette version) for a week this summer. I read it and thought that it didn't have enough amusing moments to be comic and I felt it wouldn't be safe for me to play it straight so I turned it down.
That's a surprising casting choice!