I had my hands in my pockets because it was cold
That's part of the problem. Apple specially states you hands should swing normally and not to keep them in your pockets. Without that happening, the GPS could think you're on a bicycle or in a car.
The other part of the problem might be what so many of us are having— the rings aren't showing up when we think they should.
Apple is to blame on at least one count— they haven't explained exactly how exercise is measured and what is necessary to complete the Exercise ring. I'm guessing it's a combination of BPM, steps, and time. Is GPS a necessary metric? Would running in place with a high BPM count towards Exercise for an outdoor run? I don't know.
The Activity app does change the requirements for Move closure base on the previous week's average workouts. So as your state of fitness improves, the bar raises. This might explain why two people doing the same exercise for the same amount of time, etc., get two different readings. Certainly two, three, or four people don't necessarily burn calories at the same rate. (Calories are really only an estaminet at best. Our watches and phones can't accurately tell us how many we've burned; they can only give us consistent metrics, if we can believe them).
I think at least some of us may slow down and not meet the minimum requirements to close the Exercise ring during a workout. But without knowing exactly how our Exercise is measured, we can't even begin to figure out where the problem lies.