Its a completely normal characteristic of disc brakes that get wet- the others are completely correct- a thin layer of rust/oxidation forms that needs to be 'scraped off' when the brakes are next used. Some particular brands are more or less rusty than others.

It also makes sense that those from drier climates might be alarmed by it, not getting to hear it often.

Similarly, a PhD engineer I worked with once called his dealer in a panic after washing his car and seeing 'smoke coming from the brakes'... never even crossed his mind that it was simply hot brakes boiling off water from the spraydown.

So don't worry- you are in good company!