That's true, I'm not saying that never happens. I'm just saying one should evaluate the likelihood of something happening, not just the risk itself, or you might end up depriving yourself of useful experiences and interactions, de facto letting the feds win without even actually doing anything.

Again even in that case I would ask myself, why would they pick me out of the other million people that were at the same march?

Unfortunately the line between safety and self-destroying paranoia, isn't that thick.