I started playing Skyrim when it came out...
After a few hours, I got out of the city, night time, no guards, made sure no one was around, stole the horse (stationed right outside the gates) and rode into the night...
5 minutes later, in the middle of nowhere, I get surrounded by guards accusing me of theft. Oh, **** off ! Alt+F4 and uninstalled the game. I'm supposed to cheat the game, not vice versa.
Are you sure there was no-one around - did you go into sneak mode to verify that you were hidden?