Well, this is not true. Yet again I simply must explain that writing the words "they're investigating a crime" is literally a point that hinges on there being a specific crime. Without that, and especially with the words "we want to ask you questions about a protest", it is not reasonable to say that. Minimally, when someone else asks for a source, they probably don't just need to be told what the FBI is.
I can, at least, assert with evidence that they are not investigating a crime. You've so far failed to assert with evidence that they are investigating a crime. You may not feel you need evidence to assert that but basic logic suggests otherwise.