Pleaseee help if anyone knows anything
It hard to say. If they have proof and you don't cooperate, then you are in more problem than cooperating with them, example getting the police involved. If they don't have anything but a hunch, let's say, and you admit, you are in trouble, although I sound like helping you out but I am not,
It should be your decision to take.
Without knowing the facts about your situation (like where industry you worked for), it will follow you all your life. If word gets out, you screwed yourself up bad. The other option, if you talk to them and they keep it quite, it would be a lesson well learned and you can get on with your life.
This is a tricky situation and you are the only person who will make the decision.
My opinion: is do the right thing. It may be hard now, but making it worse will have more damaging effect.
Good luck.