Applicant puts down security deposit and then changes their mind/

I have a prospective tenant who put down a security deposit for a property that they insisted they don't want to visit and are sure of renting. The communication we have had with them clearly describes the property, address and has photos. Then they come and see it in person 2 days later and said this is not the property I believe it was and I don't like it. Now they want the security deposit refunded to them.

Please advise on how to proceed with this? We had taken the property off the market and stopped advertising and invested time to communicate with them. Please note that I have not signed anything with them. All communication was done via email and messaging.