I understand you making the police curious. I understand you, doing nothing wrong, not liking the implication that you are/were or could be.
IMHO the police should be fairly meek when questioning you or interacting in this circumstance. No need for attitude here UNLESS you react badly (running, obviously lying, etc). As much as it would make their job easier if they could just intimidate you to go somewhere else, this isn't about making their job easier.
But from the other side of the coin... You could be scouting places where nobody is home or that look like easy future targets for a break in and just be pretending to be on a run. That's the world we live in. That's why I give them some leeway in at least having some interaction with you... BUT there is a line they should stay behind IMHO. No need for them to be anything but friendly... and same for you in that case...
I hate situations where the attitude of LE actually escalates a situation.