It can happen.
I was leaving hospital one night after visiting my mum who had a broken leg.
I was traveling down the Lincoln bypass, and a police car was sat at a roundabout.
I noticed that after I passed it, it pulled out and began to follow me.
Just before we reached a layby, he pulls passed and put his blues on, and we pull into the layby.
I am a bit confused as I have not done anything wrong as far as I can tell.
He comes over and asks me if it is my car. I say it is and then he asks the registration number. I tell him the reg number and he takes some more details off me and goes back to his car. A few minutes later he comes back and thanks me for stopping and tells that they are stopping all new-ish BMW's as they have had a spate of thefts of BMW's in the area. He says that everything is in order and a can go.
I was quite simply stunned (in a nice way). I was not in the slightest bothered that I had been stopped. In fact, I was preasently surprised by it all.
I told him how good it was that they were being so proactive. We both left with contented smiles on our faces.
In another incident, I was followed home for some 14 miles or so by a police car (that I assume was also going from Lincoln where I work, to my home town). He stopped me about 2 miles from home in a small village. Again I was surprised as I had not been doing anything wrong. He says "I know this might sound strange, but I have just stopped you to tell you how good your driving is". He said that my road positioning, observation and car control were excellent. Again, I was quite stunned.
It doesn't happen very often, but when it does, it feels good.