I'm in Canada and this is true, but I've found that this is usually said when I'm already far enough into taking my shoes off that it would be too weird to go "alright then" and put them back on. I also find it awkward to keep my shoes on in someone else's house. As if I'm some sort of special guest with special privileges that allow me to bring dirt into their house, while the owner of the house clearly isn't wearing outside shoes. I would actually much prefer someone saying "please take your shoes off", and avoid the whole awkward and illogical politeness ritual.