OP - YANBU 
I saw this thread quite early this morning but was on my ipod and time pressured so not able to post the first "feminist" response on the thread. 
I was actually really
about all the early reponses you got and I thought to myself "hmm wait till someone with a feminist view point comes along - this will get interesting.
I think a lot of people have read a lot into what these "concerned police officer were doing/thinking" and have created a completely different cenario in their minds of police officers patrolling crime hot spots and giving out advice.
So recapping the scenario:
__
OP was walking.
Police officers on bikes cycle up.
Brake (i.e. still cycling and on bikes).
Say to OP 'you should be careful walking by myself at this time of night'.
Police officers cycle off.
_
There was no advice about a specifc risk. No asking if OP was OK etc.
In my opinion the officers instinctive comment to a woman walking alone at night are inidcative of institutionalised sexism in the police force and an example of the society we live in - a society in which the majority believe that women need to keep themselves safe.
To me that is a manifestation of a rape myth that says that women should do XYZ whatever and that if they don't then it is their fault if ABC happens.
So some people hop up and down and think this view is ridiculous.
It is AIBU here so we get to all voice our opinions.
These police officers views are much like the "advice" given by the Bristol Police force to women following the murder of Joanna Yeates.
This "advice" was basically to try to persuade women not to walk on their own after dark (dark starting around 5pm at that time of year!).
See here for how the Bristol Feminist Network got the police to change their attitude and message.
All people will take precautions as they see fit, based on experience and circumstances.
I think it is important for women to recognise messages which although appearing to be helpful are actually perpetuating sexism.
See the stop sexist remarks blog for more info.