There are a few places around the US where I feel like this idea generally doesn't hold up, However I totally understand what you mean and it is the truth for many people living in the US.

My examples would be communities situated near or around State/National parks. There is very much a just walk around in the integrated nature sort of feel there.

Specific example towns:

Keene Valley, NY Joshua Tree, California

To a lesser extent in the bay area east, and North along where the towns butt up against parks, and accessible areas.

Additionally I've found that towns/cities which have a major university that has open access for the public typically has the ability to wander and "lose yourself" feeling Berkley in CA has this feeling for me.