I feel like there's no good way to handle this, so their best case scenario is to stall.

If they know who that is and reveal it, that person might become a target. They'd also be responsible for a large panic on the market because what if that's someone's neighbor? What if he lived in a country that your country is in conflict with? What if you knew him? It would be a spark that starts a fire.

If they don't know or are unable to track him, this would make people see them as incompetent. It would decrease the respect for the institution. Why tell people you're unable to do something, especially after the recent fiasco of the Secret Service?