From Longman Dictionary of Contemporary Englishpull somebody’s legpull somebody’s legJOKEto tell someone something that is not true, as a joke I haven’t won, have I? You’re pulling my leg. → pull
Examples from the Corpuspull somebody’s leg• Did Ronnie really call or are you just pulling my leg?• I think he was just pulling your leg.• Don't worry. I was just pulling you leg about moving - I'm not going anywhere.