That's super easy to say. Personally, I know I'd be scared shitless if I ended up in a room, under false pretenses, with the door closed, and government agents questioning if I'm an enemy of the state. I doubt I'd have the presence of mind to just 'walk away' from the FBI.
I'd be scared too, still, I'd say I need to consult a lawyer and have one present, otherwise I'm not saying anything or even listening to them...
If you are in such a situation you are already in trouble due to power imbalance. In other places where you can't get a lawyer / have friends high up you might as well play along...