Is this where you found the sentence? http://www.oxfordlearnersdictionaries.com/definition/english/fancy_3 I don't fully agree, but perhaps it will work depending in context.

Usually when someone says that ("Don't come back with any fancy ideas."), it means something along the lines of： Don't propose anything difficult to realize, as an answer to my idea. But without a specific context, it's fairly difficult to provide a clear explanation.

The dictionary first gives this definition no. 3: "3 (sometimes disapproving) expensive or connected with an expensive way of life" and then use this example to illustrate this meaning or definition: "Don't come back with any fancy ideas." So "fancy ideas" here means expensive ideas or ideas connected with an expensive way of life. On that basis, let me construct another example: She has left her previous boyfriend, who was a poor artist, to be with a billionaire, who gives her fancy gifts from Cartier and takes her on fancy holidays by private jet. That is how I would use the dictionary. Does this help you at all?