That Thing on my Arm

A couple of weeks ago, I was just getting ready to leave the gym, stuffing my sweaty shirt into my bag in the locker room, when this guy, Burt, came over and said, "I hope you don't mind my asking, but what's that thing on your arm?"

Actual photo of that thing on my arm

I said, "I don't mind you asking, but it's a long story, and you wouldn't believe it anyway."
He seemed amused, even though I wasn't trying to be funny. He kind of laughed and said, "Well, that just makes me more curious!"
I said, "Look, if I tell you what I know, you won't believe me, and you still won't know what it is."
Now his brow furrowed. I couldn't tell if his face was red because of his workout, or because he was getting pissed off at me.
"I'll believe you! Just tell me!"
"Then you'll just drop the subject and leave me alone?"
"Sure."
So I told him the story.
"OK. I was walking the dog one night, and suddenly I was surrounded by a bright light shining down from the sky. I looked up toward the source of the light, but it was so blindingly bright, I couldn't see any details. I could see that it was coming closer and closer, and as it did, I started to hear a high-pitched noise getting louder and louder... then I blacked out.
When I came to, it was hours later, in the early morning, before dawn. I was a mile away, lying in an empty parking lot, and I had this thing on my arm.
I knew where I was, so I was able to walk home. My dog was on the porch, all right, but shivering with fright.
Anyway, I don't know what it is, but that's how it got there."
"Why don't you just pull it off then?" He asked, clearly thinking I was pulling his leg.
"Whenever I think about doing something like that, a voice in my head says, 'DO NOT REMOVE THE TRACKING DEVICE.' and I forget about it. It really doesn't bother me."
"How about if I pull it off for you?" Burt was obviously angry now.
"Whenever someone starts to do that, I black out again. Please don't do that."
"Oh, so you do this a lot?" He asked, moving closer.
"I'm starting to hear that high-pitched noise. Please don't..."
Then I blacked out.
I came back to consciousness miles away, in the woods, with a shovel in my hands, standing on a mound of freshly turned earth. I was able to follow my footprints back to my car. They were deep footprints, as if I had been carrying something heavy. My phone was there, so I figured out where I was and drove home.
But I would like to know what happened when I blacked out. I would ask Burt, but I haven't seen him around the gym for a couple of weeks.