The Victorians were certainly known for being modest, and one anecdote claims they even covered up their table legs, lest they inspire impure thoughts. The myth originally started as a joke about prudish Americans. In 1839, a British officer named Frederick Marryat wrote about his travels in America, repeating a story of a young female companion who demanded a chaste vocabulary. After scraping her knee, Marryat asked after her leg, to which she replied that a gentleman should only use the word "limbs" in front of a lady, even when speaking of furniture.
Marryat followed the story with one about a piano wearing “modest little trousers with frills at the bottom of them" on its legs, to maintain the “utmost purity of the young ladies.” Somehow, the target of the joke switched, but the myth is still false.