There WAS a dog.
Spoiler...spoiler...spoiler
Some posters are confused about what happened at the second murder scene.
The police captain (Freeman) and Sgt. "Opie" already know that Hearst didn't pick up Tango at the house to go jogging with him. So when Hearst at first insists that he did pick up the dog, the police guys say to themselves, "...ah ha! A lie."
Then, later, Hearst lamely changes his story and says he intercepted the loose dog during his jog. He said that it happened all the time. By now, the police (and the movie audience) don't believe Hearst.
spoiler...spoiler...spoiler
But, by the end of the picture...as the credits roll...we realize that for Hearst to find the body deep in the brush, off the jogging trail, Tango had to have been with him and DID find the body first...barking and causing Hearst to leave the pathway and look into the brush.
Tango was with him, just as he stated.
CmdrCody