The police are cautioning you that, as they are now arresting and/or questioning you in connection with some sort of investigation, if you make a statement that incriminates you in that investigation, that statement can be used as evidence in court. They are not required to tell you what evidence might be incriminating (and they may not even know themselves yet), so the warning is a general one. It is a reminder that you have the right to remain silent and not to assist the government in making its criminal case against you.
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