Yes, I live in Japan, but it doesn't make much of a difference where you live so long as there are indoor pools available. But this isn't the first time I've been given confused looks about this... Honestly, there were two indoor pools within walking distance of my house in Washington state; I don't get why everyone imagines pools to be outdoors.
EDIT: Ah. All I said was I "went swimming." I suppose connecting "swimming" to "indoor pools" is something more unique to my experience.