Phone locked by network

So I got my phone at Best buy, full price, unlocked. I used for about 6 months a pay as you go unlimited plan by a third party company that uses ATT towers. Now I want to try a different carrier, so I waltz in, happy to be a free bird not abiding by contracts and choose whatever I want only to be told: "your phone is locked, you gonna have to ask for ATT to unlock it"!!! What?! Can anyone explain why would a network that I'm not in any sort of contract with would lock my phone without permission?! Again, the phone was purchased brand new, UNLOCKED. Even the carrier I was using was surprised, said they only work with unlocked phones because they don't have "tools" to lock or unock phones and Apple customer service confirmed the phone got locked by ATT.

Anyone with experience in that area, enlighten me please