This is one of those anecdotes of the ancient world that get constantly repeated. Put it in the same category as "Nero fiddled while Rome burned," or "the Romans salted the fields at Carthage after the 3rd Punic War." There supposedly was a sandal excavated in (Roman-Era) Greece that said ΑΚΟΛΟΥΘΙ "FOLLOW!" on the sole, in the 2nd or 3rd century CE. You can see an image of it here, and I'm not even sure if that's an actual shoe or a terracotta. I can't find any information at all on it. There are also many, many reproductions which make searching impossible. Halperin, in his One Hundred Years of Homosexuality (p.109), mentions this "follow!" footwear with no further detail, so it seems like he doesn't know the ultimate source either. Other than that, we have complaints in the writings of Clement of Alexandria to the effect that ladies of the night decorated their shoes with such messages.

In terms of practicality, this would not be a very effective method of advertisement. Greco-Roman towns weren't known for their dusty thoroughfares—they were either covered with nice pavers, or else locked in grimy, permanently-gooey muck, neither of which would be a good place to use the "Follow me" sandal. Maybe on the beach at a nice resort like Loutraki, or Baiae.