Breaking a law?

I had just got out of the car and walked across the street (I had the walking sign). I get to the corner were I needed to cross again. The pedestrians had the stop signal, yet two cops started to cross the street. (A light rail divided the streets) so when they got to my side I walked with them. One said "We're all breaking the law, why not" It was fucking funny and stupid! How would you have take it?