Obviously you are talking about a lie that does not hurt anyone, where the only immorality is that it is not true. In order answer what is wrong with such a lie, permit me to pose a different question. Why are we here and why is there a world?
This question is asked by Rabbi Moshe Chaim Luzzattoand in the writings of other great Jewish scholars and philosophers. The gist of what they say is the following: The purpose of Creation is kindness. God wants to bestow the greatest possible good upon us. The ultimate and greatest good is God Himself, and therefore, the ultimate good is closeness to God. Closeness to God requires compatibility and similarity to God. Therefore beings must have free will and not be created already similar, as this would be dissimilar to God (i.e. God acts because He chooses to do so, not because He is coerced).
Therefore, we must be in a world in which there is choice so that we can try to be as "God-like" as possible. The good has to be internal, not external, just as God is intrinsically good. The only way to internalize and be intrinsically good is to do it through challenge and free will, and therefore this world was created.
Now, God is perfect, which means He is the ultimate reality, i.e., True. Lies, on the other hand, do not parallel reality; therefore, they distance us from the reality of God, make us incompatible and negate our relationship with Him.