Co-operating doesn't mean you have to give up any of your rights.
Let's even go one step further. Say I'm working for you. You've found some descrepancies and ask me to bring to you all the information related to problem you want to explore. I go to an attorney and try to make certain things not available to you pertenent to your investigation. Have I co-operated fully with you?
I know there is a difference between private and public legal matters when it comes to self incrimination.
Remember when the Clinton adminstration didn't work with certain agencies when certain files or evidence was requested. Did we all claim full co-operation? They exercised their rights to have that evidence or files reviewed for legality of the request. No one here claimed they co-operated by that action. Rush is doing the same thing.