I don't think you're an insensitive pig. You are an insensitive OAF. There's a difference.

In all seriousness, that's actually a smart thing to do. I always ask for one. I was refused one in Boston once, because they had a full house for that Sunday. Wasn't a big deal because I just left my bag behind the desk.

I bet g_leyser, on his Ask me a Hotel Question thread, has answered this question.