Lots of losers do this type of thing. A few years ago I was setting off some illegal fireworks in the street with my family and this young couple started bitching me out about how I was gonna start a fire and stuff. I told em to Fk off and that I'm not gonna start a fire like a moron. Then they started calling the cops on their cellphone and we just left the area.
Mainly they just get off on the feeling of power. Some like the guy you met might have something more sinister in mind. In any event it's 100% illegal to impersonate a federal agent.