All depends where were at, the situation, and why. I've many tell me that, trying to impress me with his or her "badness. I laugh. Some tell you because they need help or sympathy. Some guys say it because they think girls want a "bad" boy. Some say it because someone calls them a bad person, and they feel dejected. It's very rare that a truly "bad" person is going to walk up to you and proclaim it. But......if you feel threatened or uncomfortable..walk away. Tell a parent, a spouse, anyone who will listen.
You tell them I'm out of here and have nothing more to do with them, as associating with someone like that just opens up a whole world of trouble.
Sometimes they are. Sometimes you need to take them at face value and say good bye.