I was told the same thing when I was pulled over for a hand swipe because I travel with a dog (so I was told). I laughed too.....and thought to myself "so is that so you can watch the crooks steal my stuff?"

Another time I forgot to take one of those multi-tool thingies out of my purse and an inch long knife thingy. When she pulled the second item out I said "gosh, I hope I remembered to take out my gun". I was not joking as I do carry a gun sometimes. Her head popped up and she looked me straight in the eye and said "you know we're being recorded". It was a cautionary warning......not threatening in any way but I sure did shut my mouth.