"Where do you come from?" vs "Where are you from"?

Long long time ago, I was stopped by a police officer in a side street in the middle of night. The officer came to my window and might have asked me "Where do you come from?", and I must have misunderstood it as "Where are you from?" I replied "I am from China." The officer smiled and clarified with his question "Welcome.  Where do you come from, which direction? from the west side or east side of the campus". He wanted to know because there was a report of gun fire in the west side of campus. 

In an unrelated experience, for the sake of small talk, I asked a fellow Chinese parent which province he came from. He replied “We have been here too long to be asked such a question.” Shame on me for asking him.