Okay, so... You understand that I'm making this suggestion because it was something you saw on tv.
In an episode of the American tv series Columbo, a police series, which I saw as a repeat last week, the woman said something like that to star Peter Falk, who plays the eponymous detective. And he asked her: Are you taking the Fifth, mam?
In the United States, there is a common expression, to take the Fifth, derived from the 5th Amendment to the American Constitution, which entitles a person accused of a crime to refuse to answer the accusation if the answer would tend to incriminate him.
So if the wife accuses me of watching Columbo, when I ought to have been out walking the dog, I might take the Fifth, rather than incriminate myself by an admission.
(Columbo has a dog himself, and it appears in a lot of the 1990's episodes. My dog enjoys the show, because he thinks the dog is its star! At least, that's what I ended up telling my wife...)