I don't understand parents

Our kids spent the day with grandma today so that we could get some last minute Christmas stuff done. As we were leaving to pick them up, we saw two little girls walking down the sidewalk towards us. They were probably four and two. Both had coats on, but neither of them were zipped up. Neither of them were wearing shoes or socks.

For the record, the temperature here today was not much more than 20, and we just had a foot of snow, so these kids were walking on icy snow packed sidewalks...without shoes and socks!

We asked them where their parents were, and they just kept saying they'd gone night night. Neither of them spoke English very well (we're thinking they might have been Russian,) so it was hard to understand much of what they said. They kept walking because the oldest said they couldn't talk to us. We got in our car and followed them for a couple of blocks. At this point, we pretty much decided that this was beyond insane, so we called 911. Eventually the police showed up and took them into custody. They were very scared of the fact that they were going to have to go with the police, but the fact that we were all trying to help them warm up, and obviously trying to do what was best for them seemed to relax them a little.

I seriously have to wonder what these kids' parents were thinking. It's possible that something had happened to their parents, but we really don't know, and if the parents really were just sleeping, who sleeps while their young kids wander out of the house? I can barely even sleep when our kids are up and moving...

I don't know what happened to the kids, and I would actually like to know. I also really want to know what the parents could have been thinking.