I have been in similar situations with people trying to pretend that they have a legitimate reason to pressure you to do things that might be taken advantage of.
What I do is that I immediately pick up my phone and start dialling the police. When they ask me what I am doing I am honest and tell them that I am phoning the police, and say that they might be well within their right, but I am contacting the police to get instruction on how to proceed.
So far my only response to this is that they try to defuse the situation, or simply run away. So far I haven’t been able to dial the complete number.
In any case, it is a very good idea to get to know the phone numbers to the local authorities. That might help you in many more difficult situations.