That only applies to federal agents, at least. You can lie to local cops all you want. Though in both cases I think just keeping your trap shut is the better option.
Yes, in Texas or Washington you can be charged with a misdemeanor for lying to a cop in an investigation. In Georgia, that could be a felony. That's the closest equivalent to the federal statute (also a felony).
But in general, lying to a local cop is significantly less likely to get you in trouble. The risks are so much higher with a federal agent that I'd strongly consider just staying silent rather than risk talking myself into a problem. The feds are fond of using it as their charge of choice when nothing else will stick.
That only applies to federal agents, at least. You can lie to local cops all you want. Though in both cases I think just keeping your trap shut is the better option.