If you are so sure that they have nothing on you then walking away from trouble is the best, I will like to know which country you are from but I guess you aren't ready to discol that, if I were in your show I will at least report to the police just in case, but since you are sure of your actions well no problem.
That's not safe, OP started that he is from African country, could be the worst part of Africa where the law has no meaning, have you ever visited a lawless country before? You can go missing and you won't be found like ever, if he decided to walk away it means taking action is not safe.