Doesn't surprise me - they refuse you for a visa if they have any suspicion that you're trying to immigrate. One time I was entering London and the customs guy was in a bad mood and decided to grill me. I made the mistake of saying I had a girlfriend in London that I was seeing as part of the trip - after that I got extensive questioning. Guy was halfway in a bad mood, but halfway having a girlfriend might be reason to immigrate in his eyes.

Nowdays regardless of what I'm doing, I won't say anything that'd remotely indicate that I might ever want to live in any country I'm visiting, lest I get in more questioning and hassle. And I'm an American, mind you, not exactly the country that people get the most skeptical screening process from.

If I was from a Baltic country or developing country, I'd try to casually work into conversation that I had serious commitments back home - good job, mortgage, graduate studies, serious relationship, things like that. (Actually, now that I think about it, that's what finally got me through that London questioning - when I mentioned I had to be back in Boston for my studies starting in late August, it was around July at the time IIRC, roughly five years ago)