If somebody comes to your door selling a home security system and asks if you have one, always say yes.
If they ask which company, tell them it’s none of their business. Many people looking for homes to rob will come to your door asking about security systems. It gives them a chance to case the home and look for weaknesses like if you don’t have a dog or if the house is homed by women or the elderly
Furthermore, document the encounter to the best of your ability. This is not the time you want to shoo someone away immiediately. Be comfortable being uncomfortable and without escalating the situation, ask as many questions as you can. Who are you with (even if they lie, they likely have told that lie before), contact numbers, etc. Did they come in a vehicle? Take the plates down, make, model, any damage to the vehicle. Which direction did they go in, did they talk to any neighbors.