I have never had this happen. Something just occurred to me, though. Do you think people might be more likely to make these assumptions when you've obviously shaved a full head of hair and have a lot of shadow on your scalp, as opposed to someone who's just shaving the fringe around the sides? I'm just thinking that if someone is obviously balding anyway, people will usually assume that's why he shaves his head. But if someone shaves a full head of hair, maybe people think he's trying to make a statement of some kind?
Whatever the reason, it's presumptuous and stupid. No shortage of idiots out there.