Whenever cops show up I give them the "Art Class" story.
I tell them that I'm doing a school project for my film and photography class on fusing of the elements of something you love to do with an urban environment, so freestyle skiing is something i love to do and i want to document doing it with an urban environment. I've used this excuse a few times and it works perfectly.
Literally told this to the cops who followed me to the minneapolis rail gardens so i could scope them out for the first time. I told them I was taking picture of the staircases for photography class and they said "Oh! That's fantastic! Just be out of here by 10:00pm because that's when the park closes."