Having worked in law enforcement for many years in the past, maybe I can shed some light on this.
It's not illegal or even immoral for a detective or agent to ask a company or individual "Hey, what can you tell me about X?" Depending on the nature of the relationship between the company/individual being questioned and X, it's usually not illegal for them to provide information to the officer. The problem is, depending on the nature of the investigation, that information can be considered hearsay and can be attacked by a defense attorney, so usually when an officer asks those kinds of broad questions they are simply trying to see if it's worth their time to get a warrant and get all the information they can on X. They can then take what they learn to a judge to convince them to sign off on the warrant so they can get the admissable evidence needed to proceed with an arrest and indictment.
And yes, you have every right to not consent to questioning or a search without a warrant (whether you are being questioned as a witness or a suspect), and you should exercise that right vigorously. Don't make it easy on them, make them work hard to build their case, because they should indeed be held to a higher standard.