If you are ever arrested, don't say a word especially if you are innocent.
The cops never arrest anyone unless they think they're guilty, so anything you say -- as the saying goes in America -- can and will be used against you. It'll be filtered through that cognitive bias.
Part two of his advice was: even if you are guilty of something, don't assume you're being busted for what you're guilty of. (So again keep your mouth shut.)
He related a case of someone busted for trafficking drugs. (Turns out he was.) He wound up being charged with murder. (He didn't do that!) Apparently someone had been killed in a way that made the police suspect it was drug-related, and there was circumstantial evidence linking the suspect to the scene, so...