I assume they suspected you of something or your name matched a person of interest. After all, while the US has no formal interview to leave, if you're trying to do so by air, the manifest is forwarded to the FBI and DHS well in advance of departure. If they want to chit-chat, they'll be waiting for you at the gate. I've seen people yanked off the jet bridge haha.

If you're trying to do so over the land border with Canada, I believe the Canadians will notify the Americans on your way over, and happily hold onto you for a hot minute.

You'll always have to answer to an authority when attempting to leave a country.

However, ordinarily, neither AU, US nor CA will stop you from exiting. Now re-entry is another matter.