It's not unreasonable he's being honest. This is probably a common business practice in Eastern european countries.
I'd relax. Call the FBI if it makes you feel better, but I have a hunch they aren't getting too far with it.
Actually, I wouldn't call the FBI.. I'd call the INS to see if he's a U.S. Citizen. Your local police should have taken it atleast that far. Did he have a green card?
What is? To sell a product but not want to disclose the company you work for? Maybe it's common if you work for the Russian mafia.
I think the fact that he will not say who he is working for is VERY suspicious, and the guy should definitely be reported.
I would go further than reporting him. If possible, I would also grab a camera and take his picture, if he's still around -- just to discourage him from hanging around my neighborhood, but also as a record.