[tgarma1234]

Because you will be afraid that if you don't comply they will treat you badly and maybe even take you to jail. You can see in the interview of RW that the FBI agents make it seem like they are just there to find out what happened and they say several times that they think she just made a mistake. They are doing that in order to get her to see them as allies in the search for the truth and to minimize the gravity of the situation. So, in a case like this she would probably be sitting there thinking "yeah it was a mistake I didn't want to do that at all I can't believe I made a mistake like that" which makes it all but impossible for her to halt the interview and request an attorney. In order to have asked for legal representation she would have had to see the gravity of the situation, which the FBI agents downplayed over and over as a trick.