You do not have to say anything. Cops may ask you why you are about enter a business but you need not answer. However you may be mindfull that if you do not answer the cop may decide
he wants to ID Check you, which in most states is legal and
he may inconvience you for 15-30mins while verifying you are who you say you are and are not wanted for anything, but in the end unless you have warrents, they will let you go.
I would simply say in the interested of saving myself some time, that "I heard they gave a good massage, my back hurts and I was going to go in and see about getting a massage, I have some questions I would like them to answer, I also was hoping they would take my insurance. Do you know if they take Blue Cross?, Is there a co-pay, do they direct bill" and basically ask him so many questions about the place that
he would tire of me and tell me to go away.
If
he is sitting outside a business asking potential customers questions, I think it is resonable to think
he is an expert on the place and should be able to answer my questions.