That was pretty much my reaction. Of course the intelligent thing to do would be to thank him for letting you know. I doubt if the cop said "Were are you coming from"
I wouldn't be surprised; the cop knew where he was going to, so he had to ask something. I went through a regular check outside St Stephen NB, where they were checking for seat belts and inspections, and the cop asked me where we were going. If I hadn't been heading to a hockey school with my daughter, I would have asked him why he wanted to know.
With simple matters it's best just to comply- the light burnt out no big deal!
Funny thing is, this is what allows us to be abused at the hands of those who think they are enforcing the law.