So much for anonymity. It isn't heartening to know that air marshals are this easily identified.
They were all pulled aside and interviewed after the flight.... That is likely when the comment took place. It wasn't just casually at baggage claim.
There is no fault in the Air Marshall's behavior here. Course FReepers will rip apart the attempts by ~anyone~ to perform the job of air security, no matter what they do or don't do.