IANAL but previously when I have heard that question the common response is "this can later be considered intentional destruction of evidence and/or obstructing justice and can also be used as grounds for further detention because you must have something to hide"

EDIT: Also a commenter below reminded me that not obeying any order given to you by CBP/law enforcement is a direct violation of previously agreed to rules of the trusted traveler programs (Global Entry/TSA Pre, maybe even CLEAR?) which would cause you to be removed from any/all of those programs.