Hello psain,
Please see
this project description for more information.
As noted there,
"Field-effect transistors are normally on devices, meaning that with no negative electric field, they allow maximum current to flow. In the middle of the N-channel is a region of P-type semiconductor. Around the P-type material, there is a depletion zone. There are fewer electrons in the depletion zone, so the bigger the depletion zone is, the higher the resistance. In the presence of a negative electric field, the depletion zone gets bigger, the current is decreased, and so the LED on the circuit is turned off."
I think probably the gate had a negative charge when you first connected it. The LED came on after that charge had time to leak away. Try the detector after it has remained undisturbed for a while.
Good luck, WW