I was recently stopped after visiting a location by undercover LE. They showed their badge. They threatened to arrest me if I didn't give them the information I used to find the location.  

I did as advised and they let me go. I obviously can't go back, but need advice on how I should proceed to protect myself in case they decide to pursue former clientele. Should I find some way to warn the location?

and you most certainly should use it if ever contacted by LE in the future. Without an admission of guilt by you, just WTF are they going to charge you with? There are a thousand legitimate reasons to be anywhere at anytime, except perhaps in a bank vault at 3 AM. lol The only crime you need to be concerned about when dealing with LE is the crime about "lying" to them which can lead to an obstruction charge, but that does NOT mean that you are required to incriminate yourself.

 
In the future if there were ever to happen again your best bet it to "politely" refuse to answer any questions that have even the slightest possibility of incriminating yourself, which is your constitutionally guaranteed right. Such questions would be just about anything above and beyond asking your name.

I thoroughly understand that perspective and understand retrospectively that they didn't charge me with anything because they didn't have anything conclusive. That said, in the moment, I was terrified. Nor did I want to take the chance that they would arrest me. Even if a conviction doesn't go through, I wasn't ready to take that chance...

I was resistant at first. They told me what information they already had and ultimately I did not provide them with anything new. I'm honestly not sure why they asked. My only suspicion is that they will use this information for a sting later on.

Either way, I'm still scared shitless and would just like some idea if there's anything additional I can do.

one who specializes in criminal law.   They often know people in the department and can find out if they have designs upon you.

As GG has said, the best advice is to STFU, but there is no law against asking them questions such as "What is this about?",and "Do you have probable cause to arrest me for anything?

If you start making noises like a lawyer, they often decide to toss you back in the pond.   You're not the kind of customer they are looking for.

(still not a lawyer)

My other concern is that this is a relatively popular establishment. Other than posting this note here on the boards, I'm not sure how offer up a warning without somehow this coming back to bite me in the ass.

Without being too specific- city/neighborhood/zip code?

and since you are a newbie I will take it easy on you, but you did her and your fellow mongers a HUGE disservice by giving LE ANY information about her whatsoever.

 
What the cops had before talking to you was obviously not enough to get a warrant, what you provided them was "probable cause" to kick the door down (figuratively speaking) the next time they see a guy go into her apartment/room. The cops might have "claimed" to already have known everything you told them, but news flash COPS LIE!!!, it's part of the job description.  

 
Under NO circumstances should you ever admit to a cop that you have just committed a crime, or where it comes to P4P at least, that you have even witnessed a crime. Please don't forget that even if you claim you "only" received a massage, it's an even more serious crime for an unlicensed person to be giving massages that it is to be a prostitute.  

 
I hate to tell you this, but most likely because of your big mouth (yes I am still being nice by GG standards) some poor girl, and perhaps one of her customers ended up spending the night in jail.

 
Now for the good news, at least if you are a selfish prick that is, it's VERY unlikely that this will come back to "bite you", unless of course you admitted to committing a crime, in which case LE "could" come knocking at your door to leverage that admission into forcing you into further cooperation with them, but it's VERY unlikely. You already provided what they needed, it's unlikely they will bother you again,  but I can't speak to your conscience bothering you. I certainly hope you feel bad for helping get that poor girl busted and that next time you will do better and exercise your constitutional right to STFU.

This is in NYC. It is an agency with locations in midtown. Most the girls there had multiple reviews here prior to FOSTA.  

GG, I respect your views here. I'm not here to clear my conscience but to solicit legitimate advice. Again, the only thing info they got from me was that the phone number listed on this agency's website was active. They did not ask me what I did there or even what I sent to that number.

You did indeed give them the "probable cause" they were lacking. You had ZERO obligation to answer that question and I would hope in the future if this were to ever happen to you again you would man up and exercise your rights.  

 
I hate to tell you this, and yes I hope like hell it bothers you, but you most likely did indeed put this girl firmly in the crosshairs of LE by confirming what they had only suspected before you unwittingly ratted her out.  

 
What they "got from you" was a witness confirming a known prostitute was operating out of that location, which undoubtedly was what they needed in order to get a warrant which is why they accosted you in the first place.

 
My advice stands, when questioned by LE, "politely" refuse to cooperate, but under no circumstances should you lie to LE.  It's a very simple matter to say "Do you suspect me of unlawful activity?" If yes, then you exercise your fifth amendment rights to STFU and if no, you simply ask them if you are free to leave. My legitimate advice is, if you had done as I have suggested, you would have zero worries about LE coming around knocking at your door someday in the future and that poor girl would have been home sleeping in her own bed instead of the jail cell you helped to put her in.

 
My further advice would be if this were indeed an agency, that after NOT cooperating with LE that you call the agency to give them a heads up. The problem you create by talking to LE, is that if you then call in a warning to the agency after LE has told you what they were looking for,  and LE were to find out then you would most definitely have opened yourself up to an obstruction charge.

 
I am not trying to "pick on you". You asked for advice and I am telling you what you did wrong, the consequences of what you did and what to do in the future if this ever happens to you again

Not just in a conversation related to the hobby. For example, anytime you're pulled over, what does the cop almost always ask right off the bat?  

"Do you know why I pulled you over?"

Without thinking, 99% of people will acknowledge they were speeding (or whatever it was). Guess what? YOU JUST ADMITTED GUILT! Now you have zero chance of fighting your ticket.  

When you're pulled over for speeding, politely comply with the officer's instructions but DO NOT respond to incriminating questions.  

Same with the hobby. Keep calm. Breathe. Think before you respond. Politely point out that you were simply visiting a friend, and ask if you're free to go. Unless you're under arrest, they cannot detain you for questioning.

Stick with your advice and say nothing.   Anything you say that could be construed as obstruction could get your ass in the can.   What if the gal spills the beans on you?   Now you're in a pickle of a jam.

Instead, simply say that you have nothing to say, or that you do not wish to answer any questions.

If you want to be ballsy, start asking the cop questions like:  "What the heck is this all about?   Or, simply ask if you may go.

And by the way, when you are pulled over, before the cop even gets to your car, stick your head out the window and shout:  This had better be important.    It will save you a night's fee at a motel.

 
(Still not a lawyer, nor very good creator of food metaphors.)

I would suggest rather than claiming you were visiting a "friend" that you simply say you were visiting "someone" and then start answering questions with a question of your own.

LE, "Just who were you visiting?"

You, "I am sorry officer, but am I under suspicion for committing some kind of crime?" "if so, I think I would like my lawyer to be present before answering any of your questions, and If not, am I free to go about my business?"

LE, "Did you know that you were just observed leaving the room of a known prostitute and that we can arrest you just for being here?"

You, "Does that mean I am under arrest?"  "If so, I would very much like to call my attorney now, and If not I would like to repeat my request to go about my business"

LE, "You've got quite the mouth on you, don't you?, How about we take this conversation downtown?"

You, "Well that is certainly your right as a law enforcement officer, but I am aware of my rights and I have no intentions of waiving them. Now should I have my attorney meet us at the precinct or am I free to go?"

 
Hopefully, everyone gets the point by now.

You could say thanks, but you were just there.

 
On second thought, nahhhhhh.