Turn Around. Nothing else to do - Pretend you weren't lost from the start

I uh...
I meant to do that, I swear
<.<
>.>

Rookie move, eventually you'll reach the map border and will end up circling around to the spot you need to be headed towards

.. grab a taxi
To airport
Another country
New identity
Start over

Tying your shoelaces, stopping to look in a store window or a ninja smoke bomb, are equally effective ploys.