“Well?  Do you know who he is?  He’s kind of a big-name guy.” The cop continues to prod you.  “Answer me, criminal!”

Say “I freaking wish I did!”

Say “He’s my brother, and he’s my responsibility.” 

Say “I’ve never seen him before this morning and, frankly, he’s kind of creeping me out.” 

Continue ignoring the cop, the guy, even your gnawing desire for a really good sesame bagel.