Bisogna comunque stare attenti a come si dichiara l'oggetto:
Prova:
codice:
Dim x As ADODB.Recordset
Dim y As New ADODB.Recordset

If x Is Nothing Then
    MsgBox "x is nothing"
Else
    MsgBox "x is NOT nothing"
End If

If y Is Nothing Then
    MsgBox "y is nothing"
Else
    MsgBox "y is NOT nothing"
End If
x sara' a nothing, y no...