As
@nmerritt11 mentioned, his attorney tried to stop it and Alex insisted. I think this is where you see a little bit of the narcissistic personality of Alex that he probably thinks he's two steps ahead of law enforcement and can talk his way out of this. Or he was also trying to get information as to what SLED had so he could stay ahead of law enforcement.
However, what screwed Alex in this interview is that he didn't realize SLED already had evidence completely destroying his story and alibi that he had told over and over up until that point.