Thanks, mwestwood!  That was some excellent detective work!

"Many men go fishing all of their lives without knowing that it is not fish they are after."  Evidently, this quotation is a misattribution, explaining why the vangoghfan could not locate it.  Here is what was located under walden.org:

Many men fish all their lives without ever realizing that it is not the fish they are after.

Misattribution. The closest parallel in a non-Thoreau text is from E.T. Brown’s Not Without Prejudice: Essays on Assorted Subjects (Melbourne: Cheshire, 1955) p. 142: “When they go fishing, it is not really fish they are after. It is a philosophic meditation.”

Misquotation. By Michael Baughman in his  A River Seen Right (Lyons Press, 1995) p. 156, in which he wrote, clearly paraphrasing and not quoting: “I think it was in Walden where he wrote that a lot of men fish all their lives without ever realizing that fish isn’t really what they’re after.” Baughman may have been paraphrasing from Thoreau’s Journal, January 26, 1853:

It is remarkable that many men will go with eagerness to Walden Pond in the winter to fish for pickerel and yet not seem to care for the landscape. Of course it cannot be merely for the pickerel they may catch; there is some adventure in it; but any love of nature which they may feel is certainly very slight and indefinite. They call it going a-fishing, and so indeed it is, though perchance, their natures know better. Now I go a-fishing and a-hunting every day, but omit the fish and the game, which are the least important part. I have learned to do without them. They were indispensable only as long as I was a boy. I am encouraged when I see a dozen villagers drawn to Walden Pond to spend a day in fishing through the ice, and suspect that I have more fellows than I knew, but I am disappointed and surprised to find that they lay so much stress on the fish which they catch or fail to catch, and on nothing else, as if there were nothing else to be caught.

 

[See the link below to locate this page.]

Do you happen to know the source of this quotation?  I've searched for it but can't seem to find it.  It turns up all over Google and all over Google Books, and it is always attributed to Thoreau, but no specific source is ever cited (at least on any of the many sites I checked).  Knowing the context of the quotation would permit a more informed answer to your question.

If one reads the sentence simply as presented, it seems to mean something like the following: "Many people spend most of their lives pursuing conventional goals without realizing that those goals are not their true or proper or individual goals." Certainly this idea seems applicable to the lives that many people live. For instance, a person may spend years studying to be a doctor without completely realizing that being a doctor is not the most meaningful profession for him or her.

If you can provide a precise source for the quotation, I'd greatly appreciate it. Thanks!