It's a cold air funnel (
http://aeff.uaa.alaska.edu/ams/ancams/papers/Cold_Air_Funnel_Clouds.html). Sortof like a tornado, but usually don't cause damage. If you didn't see really pronounced rotation, it was probably nothing. They cause tons of panic in places that don't see real tornados often. Once you see a good tornado or funnel, there's no mistaking them.