International Institute of Cricket Umpiring & Scoring
Thought he was out"A batsman for the other side was hit on the lower arm by a delivery that was then caught by third slip above his head. Almost before anyone had time to appeal, the batsman walked off. He had taken three or four paces towards the pavilion when the umpire called Dead ball, invited him back and told him to carry on.
Is the umpire entitled to do this when it was obvious that the batsman himself thought he was out?"
The batsman was recalled because he was leaving the field under the misapprehension that he was out (he wasn't - a ball caught off the arm is not a fair catch). Umpires must satisfy themselves that batsmen are properly dismissed.
If the batsman had declined to return, the umpires would have instructed the scorers to record the dismissal as Retired out.
Read more about Law 27.7 (Appeals) and Law 6.8 (The bat) at the MCC website