Actually - there is a TRUE story about a couple who were "doing it" on the railing of their balcony and ended up falling off the ship.
Sitting on the railing is strictly against the rules on a cruise ship (it is one way people fall off) - and so having se... I mean "making love" on the balcony is a definite no-no.
If anyone replied to you that way when you said this, it is probably because they know about the original story. It happened in 2007 - sorry that I can;t find any original links, but the woman was so embarrassed she left the cruise ship in the next port and flew home.