If I Don't Like the Questions, I Leave and Receive Money

This is not something I knew was okay to do. If I'm being asked questions by the FBI about an on-going investigation, I have the ability to leave the room. Wait, what? I am not allowed to do that? Tell that to HRC's aide - www.foxnews.com/politics/2016/05/11/top-clinton-aide-mills-reportedly-walks-out-fbi-interview-about-emails.html - although, if I'm receiving $75,000 from the US Justice Department, as described in this article, will there be consequences?