"“I have no data yet. It is a capital mistake to theorise before one has data. ..."
See in text (A Scandal in Bohemia)
Holmes frequently complains in other stories that he needs more facts, or more data. For example, in "The Adventure of the Copper Beeches":
"Data! Data! Data!" he cried impatiently. "I can't make bricks without clay."
This emphasis on facts to fuel his thinking seems intended to explain why Sherlock Holmes, usually accompanied by Dr. Watson, will go out into the field to investigate for himself. Readers of the Sherlock Holmes stories expect some adventure as well as an introduction to strange characters and interesting settings. It is because of Holmes's need for facts, or data, that he leaves Baker Street for bizarre, charming, mysterious, or unusual settings where he invariably encounters adventures.
Although the detective is supposed to be a superior type of thinking machine, Sir Arthur Conan Doyle must have known that his readers could only be intrigued with a few examples of his character's deductive powers and were eager to be transported in their imaginations into the outer Victorian world where they could feel excitement and other strong emotions. Holmes is not looking for excitement but needs to see things for himself, to interview people, and to take occasional risks, as he does, for example, in The Hound of the Baskervilles.
Even when a new client has a long tale to tell him at Baker Street, it can be seen that Sherlock Holmes is trying to gather facts. For example, when Helen Stoner comes to him in the early morning in "The Adventure of the Speckled Band," he interrupts her numerous times to focus on something of a factual nature.
“Pray be precise as to details,” said he.
“One moment,” said Holmes, “are you sure about this whistle and metallic sound? Could you swear to it?”
The poor girl cannot help expressing her strong feelings of fear, but Holmes only wants data. The search for more facts, however, will lead him to Helen Stoner's home at Stoke Moran, where he and Watson will become involved in one of their more harrowing adventures.