I'm very rarely bothered by kids. But I don't think you're rude for asking where their parents are.
In my case, if I leave my 9-year-old son alone in an area of a store, when I come back to meet up with him, he'll have usually found a way to combine two seemingly unrelated toys into some kind of super-weapon and attracted the attention of any and all girls in the surrounding area.
When he was younger, I had to watch him like a hawk, because he would just start taking things off shelves and doing all kinds of things with them.