If you had/have a girlfriend they knew/know about, you could have used the excuse you bought her some things and that is why you got the catalog. If not... yeah, awkward.
I had the same problem with Paula Young. Long ago when I was living with my parents I had a Paula Young catalog arrive in my name (I had to provide a physical address instead of a PO box for an order), and that is how they got my home address. Yeah... didn't go over well.
