I have done something very similar. Walked out of an interview (politely) due to how it was being conducted.

Employers forget that interviews are two-way, and that a talented potential employee is scoping you out to make a decision as well.

They are too often used to having all of the power in the negotiation, they completely don't get it when the time comes to interview someone who isn't desperate.

The ego blow is hard for them to take when you turn them down.