Higher than expected leakage drain current with Vgs=0 for N channel MOSFET
Max is 1uA at 25°C. Either your meter or your MOSFET is not doing what it should. 

I would expect less than 100nA under those conditions. 


Do you get ~1mA with a ~5K resistor? 
Do you have the meter probes and switch in the correct position to measure current?