GirlieZ, there's nothing 'wrong' with you.
I think you felt pressured by the spur of the moment decision and you needed more time to get comfortable with the idea. It's understandable to get 'cold feet' when suddenly faced with the unknown. Happens all the time with us humans!
We've been to exactly one club (off-premise), so I'm hardly an expert in the subject. We did enjoy ourselves very much, and yes, we were pretty nervous at first. I'm sure some others can relate their experiences and if you do a search, you should find several threads on the subject.
Like any other nightclub or bar, there are probably wide variations in swingers clubs. However, most of the stories I've heard are good ones and it seems that the boundaries of newcomers are generally respected.
-B