I was at a conference years ago in Burbank, wanted to walk during lunch break as I was tired from all the sitting and was stopped by the cops also. They were super friendly, offered me a ride but couldn't understand why I'm walking (especially without some destination). It's a really different mindset from Europe.
They thought I was crazy for walking basically. After reassuring them I knew who and where I was, they let me walk off.
Much of America seems very car-centric (to a European like myself).