Something similar happened to me in the US, but then again I've been stopped by the police in the UK too while out for a walk. In the latter case it was about 4 a.m. and I must have looked suspiciously sober.
I find the UK oddly authoritarian / rigid in many of these ways. My GF and myself decided to go to a lake (actually some kind of reservoir) near London on a hot day a month or two ago, and were rather surprised to find out that the lake closed at 6pm.
The very concept of a lake closing, never mind at 6pm on a summer evening (easily light out until 10:30), was alien to my Irish mind.
Meanwhile, there was an article in the Guardian, about whether or not it's OK to go wild camping:
Similarly, the notion that going to a campsite could be described as camping was weird. I view campsites as more like unpleasant cheap muddy hotels - I grew up understanding one of the appeals of camping is being in the middle of nowhere, with nobody around. The idea of having other people, music, barbequeues, people drinking etc. all around sounds horrible to me.
Och that Guardian article is getting all in a fluster about "wild camping" being banned in a single location (Loch Lomond) that is near to a major city and is seeing some problems.
Just about everywhere else in the Highlands I've never had any problems wild camping or staying in bothies (http://www.mountainbothies.org.uk/).
It links to a different article discussing a camping ban near a large city, but the article itself says "It is currently banned across the vast majority of England and Wales".