TV shows are notoriously bad sources of information about the real world. In the real world if the police has anything solid which they believe points at you as the perp, they will arrest you first (possibly after watching you for a while). Extracting information from you is so much easier when you are intimidated and fearful - as anyone would be after marinating for a few days in a cell.

Talking to the police before you get arrested is just plain stupid. Let the lawyer do the talking. See: https://www.youtube.com/watch?v=zRNc3Qic-Ks