The agent can TELL you that he's investigating someone else, while he's investigating you.
This happened to a gentleman on this forum from Texas about a month or two ago.
Since the agent confessed that he's trying to trip up
someone for selling firearms without a license (but don't worry, buddy, I'm trying to get this guy over here... not you
), it seems like there's potential danger to yourself if you cooperate with them without first spending $100 on some cheap legal advice.
Remember.... to most law enforcement (especially Feds), it is the gun that is the object of criminality. Anyone who owned or held it is subject to its taint of wickedness. If this guy under investigation sold "an illegal gun," then you also participated in selling an "illegal gun."
I would suggest no more dialogue with the ATF agent unless you have a lawyer present. Maybe it was just nothing, but it can change focus quickly based on the whim of that agent.