How do you respond when you know you're being manipulated with false statements?

Some people use false statements to provoke a reaction or get someone to talk. One of my colleagues tried this on me—she said something like, 'Somebody overheard you talking badly about XY.' I knew she was testing me, and I prefer to play dumb so that people around me don’t become overly cautious. So, I exaggerated a bit, acted very concerned about who said it, and started asking people around me if it was them. My colleague immediately backed off, saying, 'No… no, it wasn’t them, just let it go.'

Maybe she’ll think twice before using this tactic on me again? Or what do you think is the best way to handle this?