Being a lone tourist in the Zona has not caused me problems with the cops.
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I've posted many times that most of what I know about hobbying in TJ I've learned the hard way. On my second visit to the Zona a street person kept following me asking me for money so I gave him a dollar. Out of nowhere the cops appeared in a pickup truck.
They separated us then asked if I had drugs and I said no. So to be sure I wasn't lying they searched me. Back then I didn't know what I do now--(which is keep wallet, money, and valuables in your hand during a search--but they stolen nothing. They let me go after not finding drugs on me and glancing at my passport. (It was sort of surreal at the time, but strangely I wasn't afraid.)
The cops hauled the street guy off to jail. I don't know if they found drugs on him or if he didn't have ID. (Both of which can get you arrested.)
I've always though the cops believed they'd seen a drug buy and that is why they stopped me. Which is why I advise people to ignore street people and never give them money.
Anyway, being on foot alone in the Zona has not resulted in me being targeted by the cops. (I've had encounters with corrupt cops over the years, but they were while driving or outside the Zona. Like when the cops caught me leaving a pharmacy after buying Viagra without a Rx--a practice they stopped about 10 years ago.)