What was reported in Australia was that he stuck his head out of the room to look for the complimentary newspaper. Not finding one, he set off down the hallway to try to find one on another floor. As the door closed behind him he realised he was locked out, and hence proceeded to Reception in his undergear to ask to be let back in to his own room. The incident was the subject of quite a few newspaper cartoons over here, let me tell you.
This (allegedly) infamously demanded phrase by John Malcolm Fraser (Australia's Prime Minister from 1975 to 1983) was uttered on October 14, 1986, when he lost his trousers, and a lot more, at the Admiral Benbow Inn in Memphis in circumstances which were widely reported yet never explained. It has been suggested he was slipped a Mickey Finn by the escort girl Rolex gang, whoever they were!
Suffice to say, whenever one is confused, a where's my pants comment cannot be far behind.