Herodotus apparently visited a megalithic building with three thousand rooms, half underground, that he thought may have been the labyrinth. Of this building, he said

"...it is hard to believe that they are the work of men; the baffling and intricate passages from room to room and from court to court were an endless wonder to me, as we passed from a courtyard into rooms, from rooms into galleries, from galleries into more rooms and thence into yet more courtyards. The roof of every chamber, courtyard, and gallery is, like the walls, of stone. The walls are covered with carved figures, and each court is exquisitely built of white marble and surrounded by a colonnade"

Reading his words it was hard not to want to learn more about it. Apparently the location of this structure is known, but I can not find very much information to satiate my curiosity.