Step one whenever you get a cold call from someone claiming to be in law enforcement is to call back on the main line for their department. Step two, if they are in fact legit law enforcement, is to get a lawyer involved before you say a word to anyone if you are the target of the investigation. Beyond keeping you from saying something stupid to law enforcement, a good criminal defense attorney can do a lot to make sure that all your electronic media is properly preserved so you do not get dinged for obstruction of justice just because you set your emails to be deleted after 30 days, etc.
I will say that scams are getting really sophisticated. I had a check stolen out of the mail. Someone then tried to cash a $6,500 fake check on my account. My bank caught it, but then the scammers called me claiming to be my bank's fraud department and tried to get my SSN and pin. I hung up on them and called the main number for my bank and found out it was a scam. Never trust a cold call these days. Always call back on a main number and verify.