They've also been trained to not talk. That was a recurring thing for them when the FBI was after them. They either said as little as possible or they had a story they were ready to roll out. Which, really, what kind of story would they have to roll out about why it looked like they tried to kill the President?

And yeah, as soon as they talked, they were probably going to be executed, especially if it seemed like they were acting alone, or they had no useful information. Not talking bought them more time.