Three girls sparked an emergency call-out after entering the water near Central Pier, says the Coastguard.
Lifeboats and rescue teams were scrambled after a passer-by reported the girls in the water at around 2.45am on August 22.
But by the time rescue teams arrived minutes later, the girls had already got out of the water and made off from the scene.
A spokesman for the coastguard said: "We had a report of three people in the water by Central Pier.
"A member of the public contacted us after shouting at the girls from the beach to get out of the water.
"RNLI Blackpool launched a lifeboat and Lytham Coastguard Rescue Team attended.
"But it seems the people had got out of the water before our teams arrived on the scene.
"It's not advisable to go into the water at night time given the area.
"It could have led to very serious consequences."
Nobody is thought to have been injured during the incident.