This, ladies and gentlemen, is the ONLY appropriate response to a law enforcement official who wants to talk to you about anything more serious than a traffic ticket. Sure, you might get arrested, but as Kim DuToit correctly points out, that answer will not get you charged with a separate "crime" of lying to a law enforcement official. Think it can't happen...? Just ask Martha Stewart. Police do a difficult, dirty, and dangerous job for not nearly enough money, but my interest in those things end where my constitutional rights, including my freedom, begin.
Heck, I'm a lawyer myself, and that's the answer I would give them...so take the advice from your friendly criminal defense lawyer here. If the police, state or federal, start asking questions that make you even suspect that you might be a target of their investigation, pretend your lips are stuck together with superglue until you have an attorney present who is on your side...because in this situation, the authorities may be lots of things (including liars who can lie to you with impunity if they think it will get them the information they're after), but on your side ain't one of them.