In the meantime the brothers “sat down to eat a meal, and they lifted their eyes and saw, and behold, a caravan of Yishmaelites were coming from Gilad, and their camels were carrying spices, balm, and lotus, they were going down to Egypt. Yehuda said to his brothers, ‘What is the gain if we kill our brother and cover up his blood? Come, let’s sell him to the Yishmaelites, and our hands shall not be upon him, for he is our brother, our flesh.’ His brothers listened to him. Then Midianite men, merchants, passed by, and they pulled and lifted Yosef from the pit, and they sold Yosef to the Yishmaelites for twenty silver coins, and they brought Yosef to Egypt. Reuvain returned to the pit, and behold, Yosef was not in the pit; so he tore his garments. He returned to his brothers and said, ‘The boy is gone! And I, where will I go?’ They took Yosef’s coat, and they slaughtered a goat, and they dipped the coat in the blood. They sent the fine woolen coat, and they brought it to their father, and they said, ‘We have found this; please recognize if this is your son’s coat or not’” (Breishis 37:25-32).
The brothers did not know what had happened, and when Reuvain went to the pit and did not find Yosef, they all thought a wild animal must have devoured him. They weren’t even lying to their father, for if they would have sold him to anyone there would not have been a nation or kingdom on earth where they would not have inquired about their brother, until they were able to ascertain whether he was dead or alive. Furthermore, if they had actually been unsure whether he was alive or dead, would they not have recognized his features or the way he spoke [when they were in Egypt]? Indeed, Yosef also dropped three hints for them, beginning when he told Binyamin: “May G-D favor you my son” (43:29), then when he gave him five times the amount of goods to take home (verse 34), and finally when he sat the brothers in order of oldest to youngest. They should have been quite suspicious. Rather it must be as was explained [that they thought surely a wild animal consumed Yosef]. (Click here for Hebrew text.)
It must be that once someone makes up their mind about something it is extremely hard to change it. Even if all the evidence seems to indicate the opposite, the person will be unable to pick up on it because he or she is stuck in their own reality. That is why the brothers never suspected that the Egyptian viceroy was Yosef before he revealed himself, and, really, even after he revealed himself, it took time to digest.