Is it wrong to invent stories about yourself to tell to strangers?

In the past, I've made up stories about myself (basically assuming a character) and told them to strangers on the bus or in an airport. When I mentioned this to my spouse, I hadn't really thought of this as lying until I saw his horrified reaction. Do you think this is wrong? If so, why? Would it be acceptable in some contexts, such as for an acting class?