The cop is wrong. Here's why-

Whenever you approach someone, whether driving, riding, or walking- instinctively you head to the right to avoid a collision. If you are riding against the flow of traffic and have to make an emergency move, 9 times out of ten, you will subconsciously go to your right. That will put you into the path of oncoming traffic.

As a pedestrian, it makes sense (and is the law when using the road) to go against the grain.