It also has to do with Sherlock Holmes and the game of chess.
The Game Is Afoot!
I am always reminded of this phrase when I start to write a Sherlockian article.
We first see the famous phrase in the Canon in "The Adventure of the Abbey Grange" when Holmes tells Watson: "Come, Watson, come! The game is afoot. Not a word! Into your clothes and come!" The word "game" has two meanings. One is "quarry" or "spoils," and it would be the main meaning in Shakespeare's and Holmes' words. However, the other meaning of "game" is, "a diversion, pastime, or amusement; or a form of mental or physical competitive play, governed by specific rules and testing the skill, endurance, or luck of the participants."
‘Come, Watson, come!’ he cried. ‘The game is afoot. Not a word! Into your clothes and come!’
Sherlock Holmes Quote
-The Adventure of the The Abbey Grange
This latter meaning is important, as Sherlockiana is a "game," like chess or Monopoly for me. "Sherlock Holmes is alive" and "Dr. Watson wrote the Canon" are rules of the game, and I do not want to change these rules. It would be impossible to play chess if you deny the rules of movement of the chess pieces. We can enjoy playing games when we adhere strictly to the rules.
http://sherlockholmesquotes.com/
[Updated to include full quote and reference as well as an updated weblink on August 22, 2016 by shuehorn]