It is well known that, if $1 < p \le 2$, then, for every $f \in L^p$,
$$ \int_{[-R,R]^n} e^{-2\pi i x \cdot y} \hat{f}(y) dy \rightarrow f(x) $$
As $R \rightarrow \infty$, in the $L^p$ sense. This is a corollary, for example, of the $L^p$ Theory for the Hilbert Transform.
I have dug the internet, unfortunately in vain, in search of a counterexample for the $p=1$ case. A fellow at my local institute told me that this counterexample was due to Kolmogorov, but I still cannot find it anywhere - at least not the example I want.
Any ideas of how can I build such a function, or even good references for such a construction?
Thanks in advance.
EDIT: To be noted that I'm not talking about Fourier Series. It is not a problem about periodic functions, it is about globally defined functions in $L^1$. The counterexample for Fourier Series is well known and due to Kolmogorov.