Never admit to anything illegal, but just as important do NOT, NEVER lie to the police. The cops can't arrest you for simply suspecting you are seeing a hooker, but you can and will buy yourself a felony obstruction of justice charge if you try to lie your way out of things.
Cop, "Sir, can I ask you what you were doing in that apartment we just saw you coming out of?"
You, "I am sorry officer, am I under suspicion of committing a crime?"
Cop, "You do know that you are leaving the residence of a known prostitute and we can arrest you simply for being here"
You. "So does that mean I am under arrest? if so I'd like to call my attorney please. If not, I really have to be somewhere, may I leave now?"
Cop, "We aren't really interested in busting you, we just want the girl, so why don't you do yourself a favor, tell us why you were really there and we'll do our best not to jam you up"
You, "So then you are saying I am NOT under arrest, right? In that case I really don't have anything to say, may I go now?"
Always be polite, never be confrontational, but also never act like you are going to piss your pants with fear or that you don't know your rights under the situation, and NEVER tell an outright lie that you can be caught in.
Then you shouldn't have any problems, unless the provider is REALLY high volume, in which case stay away. It's not worth the trouble.
After a year of hobbying I've learned a lot of important lessons from this site and my own mistakes, like seeing unreviewed providers and having lousy experiences, but stick to the well reviewed pros and you'll be fine.
Cop, "Who were you visiting?"
You, "I am sorry, but your tone implies that you suspect me of doing something wrong, am I under suspicion of committing some kind of crime?"
Cop, "You were just seen leaving the residence of a known prostitute which is a crime in itself, just answer my question or things are not going to go well for you"
You, "I see, so you do suspect me of a crime, I really don't see how answering any questions without having an attorney present would be in my best interests. Am I under arrest? If so, I would like to call my attorney, if not am I free to go?"
The object is to not give the cop anything that can be used against you and at the same time not tell any lies that can also be used against you.