No, Skyrim's foxes aren't intentionally leading you to treasure
Sadly, foxes aren't interested in loot.
A myth involving Skyrim and its foxes, which has persisted for years, has been debunked.
See, many players seem to think that when the cuties run away from you in the game, they lead you to treausure if followed. Considering sometimes they run twoard ruins, or burial mounds, it may seem if that is the case. However, according a former Bethesda developer, leading the player to loot was not programmed into Skyrim.
Speaking in a techy tread on Twitter regarding the development of Skyrim's NPCs, the game's former level designer Joel Burgess explained how it may seem as though the critters are leading you to some of the treasures the environment may hold.
According to Burgess, the game's AI use 'navmesh' to navatage where an NPC can and cannot go. In most situations, you're seeing AI decide what do to, as they use navmesh to make a path, and navigate along said path. The decision the AI makes can be, for example, to run toward the player or even hide. In the case with foxes, if you run across one in Skyrim, it's only 'decision' is to flee along a pathway as the navmesh it uses falls into the Medium category.
Because much of the game uses Low Process, most of the outdoor areas have simple navmesh which means there are areas which are little clutters or that have "a low chance of combat." This changes however when you enter a camp or ruins with points of interest which Burgess compares to "triangles." So, when the fox is trying to get away from you, it is not concerned with running 100 meters away, but 100 triangles away. Bascially, this means that the best place for the fox to run is to said camps and ruins as it is easier for the AI to find 100 triangles.
"So foxes aren't leading you to treasure," said Burgess, "but the way they behave is leading [the player] to areas that tend to have treasure, because points of interest with loot have other attributes (lots of small navmesh triangles) that the foxes are pursuing.
"Emergent Gameplay is often used to describe designed randomness, but this is a case of actual gameplay that nobody designed emerging from the bubbling cauldron of overlapping systems."
In other words, foxes leading you to in-game loot is an unintentional byproduct of pathfinding programming. But, it may still be wise to follow one of the critters just in case it leads you to a shrine, cabin, burial mound, or what have you, because the game is littered with treasures to gather.